Y'all might want to check your settings. I get notifications when I have messages, even visitor messages. My bar at the top of the page has "Notifications" and a number will appear with it when I have messages.

One odd thing: If you click on "visitor messages" when on the 'private message" page, it will take you to a page and tell you that you have no visitor messages to view, yet it will also tell you how much space you have used and how much you have left. Contradictory?