Sorry, fins, I'm not sure what you mean. I'm attaching a screen shot of what my notifications looked like right after I sent myself a PM.

My notification stats look fine to me: the big window says there's a total of one notification and the little popup window says the notification is for one PM. When I click on "Unread Private Messages" I get taken to my Inbox where, sure enough, there's the PM I just sent to myself. After I read it, the "Your notifications" line disappears from under the "Welcome, FooZe".

What do your notifications say exactly, in the big window and in the popup? You're welcome to PM me if there are any details you'd rather not discuss publicly.