I agree that it was caching too. Lets sum it up:
The last time you opened the PC Index, it showed that you had 1 new unread message. Since you opened it newly, your browser cached it.
So the next time you get back to the PC Index, (this has to do with offline mode / working offline IE) you are shown that cached page, instead of a refreshed new one. So naturally, you'll see that the 1 new unread message is written there, and you'll click it thinking that there really IS a PM, when there's not.
Hope that explains it. Only way to solve this, is to ALWAYS refresh the index pages.