I'm having this issue now as well. My PM system always shows 1 unread message.
I tried all the usual stuff. Deleted browser cache, logged out and back in. Tried a different browser.
Certainly not a bid deal, just thought I'd mention it.
EDIT: Sorry, I literally messed with it all weekend and couldn't get it to stop saying 1 unread message. Then I just tried clicking on every single message in my inbox and now it's gone. I'm not huffing Simple Green. I promise.
Nothing to see here. All is well.