First, The PM notifier doesn't work so you may want to make it a habit to click on that every time you visit just to check.
Second, PM's are like threads in this forum system, so you can reply back and it's attached to the old message, anyone the message was sent to and the send can read the thread at anytime, so if you see that your PM that you have never read has been viewed 5 times, the person that sent it viewed it.