When you get a PM (Private Message), the website sends you an email to your email address on file, letting you know that there's a PM waiting for you.
Otherwise, you'll see you have a new message in the right column under your avatar (photo) (HOME and COMMUNITY pages only). In addition, the COMMUNITY page will show a bell with the number of new messages on the Community Menu.
I'll see how else I can display that you have a PM. Thanks for the idea.
Many people don't bother visiting the COMMUNITY page, but there's quite a bit there. PM's are part of the COMMUNITY section.