To reproduce:

1. wait for someone to send you a message via moodle messaging on Moodle.org.
2. receive email to inform you of that
3. Click through links to get to: http://moodle.org/message/index.php
4. No sign of the message
5. Search moodle.org for the name of the person who sent you the message.
6. Click on their name
7. Click on 'messages' on the right
8. Message appears!

It would be much more helpful if the message appeared at step 3, not at step 8.