Yes, you're right any PM you get or send to another - new or a new reply will show in the # area and be marked as unread until it is read.

Did you go to the User CP {above on the left} you can set it to send you a email notice of PMs as well as a pop up notice if you are online when one arrives.

in the edit options section-

[ Messaging & Notification

Receive Email
From time to time, the administrators may want to send you email notices.

If you do not want to receive these notices, disable this option.
Receive Email from Administrators

You can allow other members to send you email messages.
Receive Email from Other Members

Default Thread Subscription Mode
When you post a new thread, or reply to a topic, you can choose to automatically add that thread to your list of subscribed threads, with the option to receive email notification of new replies to that thread.
Default Thread Subscription Mode:


Private Messaging
This forum features a private messaging system, which allows members to send messages to one another privately.

If you do not want to send or receive private messages, you may disable the private messaging system.
Enable Private Messaging

You may limit the receipt of private messages to just moderators and those on your buddy list. Other members who attempt to send messages to you will be told that you have disabled private messaging.
Receive Private Messages only from Buddies and Moderators

The forum can send a message to your email address to inform you when someone sends you a private message.
Receive Email Notification of New Private Messages

If you are browsing the forums when you receive a new private message, the system can pop-up a notification box informing you of the new message.
Show New Private Message Notification Pop-up
]