I'm not sure if this has been mentioned already (I don't come to this thread often... I guess that's a good thing) but I got a PM today and everywhere I normally have new message indicators (e.g. top right corner of my screen where it now says "0 New Messages") they told me I had 4 New Messages. In fact, I had just one.
It was part of a back-and-forth conversation thread where my counterpart had, to that point, written 4 messages, and I can't imagine that's just a coincidence. But of course, I'd long since read the first three.