For those who would like to be notified when a private message is received you can set an option under the "User Control Panel"
User CP
In the Messaging and Notification section, you can click on
Private Messaging
[x] Receive Email Notification of New Private Messages
[x] Show New Private Message Notification Pop-up
This will notify you by email and give you a message received pop up.
I understand that not everyone wants messages, and not everyone replies to messages, but you can't reply, if you don't know someone is calling.