You have to manually check your messages to see if you have any PMs. Check both the Inbox and Sent. Responses show up as those numbered blue circles.
If you PM someone and they don’t respond, it’s because PM notifications (at your Talk-Level user icon) seem to be delayed about 24 hours.
I believe that @denzuko plans to address this Sunday night during maintenance.
(EDIT: This post is a notification only. You can read discussion at these posts:
Scheduled Talk Server Maintenance June 3 2018 01:00 am
Incoming PM Alert icon not working