I received a private message where the sender didn't supply a Subject. As the Subject is what's linked to the message there wasn't a way to read it, other than going into the page code to find what the link should be.
oh sorry doesn't seem to be a general bug anymore cause it was fixed in the newest version of pms enhanced.
But I know another bug which has to do with the login mod.
When you delete a unread message, delete it also from the recycle bin, so that its really gone the message alert still says that you have a new message. but maybe this is again only a bug on my website.