Okay, now it's not even bothering to tell me I have new PMs. At the top left it'll read "you have no messages." but in the navigation bar it'll say "MY MESSAGES ". (One new message, that I haven't seen at all yet, plus the mysterious ghost message.) Once I click on it the red PM notice appears and doesn't go away until I delete the message.
Very odd--the ghost PM has it out for me!