I have done a test (by sending a PM to myself) to see if it's working OK. Hmmm ... the PM got sent OK. I got a notification by email telling me that there was a new PM on the forum, sent to me by 'Candlelight.kk'.
BUT - even though the test PM was there in my INBOX, the message at the top was telling me 'You have no new messages' ! and also the label in the top toolbar had not changed from saying 'No PM'. That button should change to when there is a new message in your PM inbox.
The Notifications option at the right-hand corner of the top (black) toolbar also displayed that I had a new PM message, so all the rest seems to be working OK.
Thing is - unless you have ticked in your Preferences (and/or the Notifications option in the top right-hand corner of the black toolbar at top of the forum) that you wish to be notified by email when someone sends you a PM on the forum - you will not be aware that there are messages waiting for you in your Inbox!
In the circumstances, I would advise every member when next logging in to the forum to check your PM box for any PMs that you have not read - even though it's showing in the box above that there is 'No PM'.
Also - it would be a good idea to tick in your preferences/notifications the box to receive a notification by email to let you know that there is a message waiting for you there.
The same situation is happening on Krazy Kats forum, so it would appear to be a global Forumotion issue.