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When someone logs in it should be immediateoly obvious if they have a new private message. Unless I missed something, I can't tell if I have a new private message unless I go to my own profile.
It seems to me that this is one aspect of a big problem: One can't tell if there are new private messages, new posts in one of the sub communities, new documents uploaded, etc, unless one actually looks for them in multiple places. Most people are not going to do that.