Sorry for the late reply, but screenshot attached.
Hi Edith3000,
Thanks for the ss, I'm looking into a bug with the same behavior that happens when guild mass messages are received, they are received as Private Messages, but it causes an issue where they no longer appear if the last message between that player was a guild mass message received. We're working on a fix for this, meanwhile, to workaround this issue you can load private messages in the browser, which will display all unread guild mass messages, that should clear up the notification blip.
Cheers,
Kami