My UserCP says I have one unread PM and a total of two messages. I have one sent message and that's it, but no matter what I do it still says I have one unread PM. My Inbox is empty.
I have a somewhat similar problem as well, it keeps showing I have a new message but i've already read and replied to it twice. Every time a page loads i get the annoying popup that tells me i have a new message when its the same message again and again. I selected it and chose to "mark as read", but it still shows as new.