Mine still says I have 251 unread, but those are from the old forum and I read them way back when. I just need to delete the old PM's. If you have read them since we've moved to the new forum I'm not sure what the problem is. Maybe the cookie on the database expired? There is a setting in the "My Settings" area to get pop-ups when you receive a new PM. It will pop up as soon as you login if you got a PM while you were logged out.
Here's how to enable the PM pop-up:
How Do I: Enable Pop-Up for new PM's