There has been a few times i get a direct message, and i have no idea i have it. Its only by mistake a press it then figure out, or get bored so i start to mess and then again find out. Now i know you get an email alert, but lets be honest not everyone reads there email straight away, so. A suggestion from me would be, to have some kind of warning or alert that you have a message. Either integrated into the timeline as a mention (only on your profile) or like the follower requests, have a new message for you kind of thing on the right column. Thanks for reading it if you do.