I recently (Sunday around noon) received e-mail notification that I received a new private message, but there was none to be found in my inbox.
Aside from a message disappearing completely or someone logging in to my account and deleting it, it might have something to do with my sending a message around the same time.
[edit]And I did PM anyone who might've sent me something, so it's not as much of an issue in that respect.[/edit]