The Private Messages link at the top has been updated to show that you have new private messages, for example, if you have 2 unread private messages it will say: Private Messages (2) in red.
HOWEVER, for performance reasons, your count of unread PM's is only updated once per hour. So after you have read the PM's the link is still going to say Private Messages (2). Dealio. Hopefully I can get a better version of this soon, but until then at least this will make it easier to see when you have a PM!