I had a similar problem - a message received icon but apparently no visible message in the inbox. This started after a software upgrade. Following the advice on this site I entered the message folder and typed 'u' to find any unread mail. Sure enough, there was a messge I had misssed. The reason I had missed it was that it was backdated, by several years - to a date long before I even had a blackberry ! How weird is that ? It was a Blackberry registration message. it looks like the upgrade came with this odd backdated registration message.
