I think that the notification "player X send you a PM is" completely unnecessary, because then you have exactly two symbols (the red ! and the blinking yellow message symbol).
If you click it and read the message, the red ! is still visible, because you only update the lower part of the page and not the upper task bar (Portal, !, user name, private messages, logout). Now you need to press F5 to get rid of the red !. Wouldn't it be better to send an event which sets the notification to of, when you have read the message (and if this was your only notification.
Overall, I think the easiest solution would be to simply not use a notification symbol, if you receive a PM.
Hopefully you got what I meant