Sometimes even when you click the box that you want a pop up to notify of new PMs, the pop up never happens. On the bottom of the main boards page is the place where you can see without opening your PM box if you have any unread messages.
And yes, if you sent someone a message, I think they should at least say thanks for the message, unless like others have said, many people sent a sympathy message to something written on the board. Then, an open thank you message to everyone seems right.