I randomly noticed today that a member sent me a message almost a month ago, so I realized that the pop-up box for receiving new messages from members is not a default setting on the new forum ( I don't know how it was set on the old forum, but I always got the pop-up box). It took me a while to figure out how change the setting for messages, but this is how you can do it.
From the Modify Profile tab
Choose Personal Messaging
Click the check box next to the line “Show a popup when I receive new messages.”
Click the Change Profile button on the lower right of the screen to save the change.