The reason that it was showing there was a notification was that you had a visitor message that was in moderation and until it was approved by a team member, the notification would still be there. It has since been approved so you should not have an issue now.

As far as getting to your private messages there are a couple of different ways to get there. You can hover your mouse over the "My Profile" tab in the upper right hand corner of your screen and click on "Inbox" or you can "Private Messages" right under where it says Welcome smilehopeandlive.

Hope this works for you!