Is there any way that an unread PM could be hiding farther down that page, or even on a different page?

I'm wondering what would happen if you had someone on your ignore list and they tried to PM you -- whether it's possible that you'd see the notification but not the PM itself. If you know you have someone on ignore, you might want to take them off temporarily and look at your Inbox again. If there turned out to be an unwanted message in your Inbox, you'd have the option of deleting it unread.