There's an alternate way to really notify you .. it opens a popup dialog telling you about new PMs and allows you the choice to open a new tab/window to view the messages.
Enable it in your Profile, Personal Message Options
then tick the box for "Show a popup when you receive new messages?" and Save your profile.
Then when you refresh your screen, and you have a PM waiting, you'll see the popup dialog letting you know about it and offering to view your PM now in a new window/tab.
Best regards,
Ken