As others have stated this has happened to me also. Upon receiving a PM the message appears no matter where I am on the Forum but when I am asked to hit "Cancel" to read the message it disappears.
My reason for coming to this section is to learn how to find both sides of the PM conversations, Incoming: no problem, Sent: not able to find. There is a way or there used to be a way to see both conversations I think. Thanks for the help!