Brickguy, you should still see that a new message has arrived for you. Up at the top of the page, where it says My Messages, if you get a new message, it should indicate a number for how many new ones there are.
I don't know about the bold part since I haven't gotten many new messages here to experiment yet.
Edited to add:
You can also add a Notification of any new messages. If you go to your Profile, Account Settings, Modify Profile, click on Personal Messaging and you can select to receive a Popup for any new messages.