I've received several direct messages that aren't indicated by the Message Center icon, and only discover by chance if I'm reviewing the inbox. There does not appear to be an identifiable pattern as to when or why this happens.
Corollary is a feature suggestion: Internal flags to track whether a message has been read, eg. bolding the title in the inbox folder.
As such, if you've sent me a letter and never received an expected reply, gimme a poke. :B