Maybe this is related to the erotic site ad spam from yesterday? When I noticed it, the PM was still in my Inbox, but the sender had been banned already, I believe, since it only said "guest" and clicking the name resulted in an error message. I could view the message itself, though, at that point. Then some minutes later the PM itself disappeared without me having to do anything, as if it had never existed. It's possible you guys didn't manage to get to your Inbox in time to see the very private message before some admin deleted it, yet the notification alert persisted.