Since you are using the current version.
I would ask the user. One more time.
Delete the cookies via the mystuff> cookies option.
Then check the pm for unread messages and see if they go away after they exit.
It is a old bug that should have been fixed.
But we still need to do the steps.
BTW,
I don't have the issue on your site.
Last edited by Ruben; 10/03/2013 4:11 PM. Reason: Added Comment.