By which I mean the little circle next to your username at the top right. It lights up whenever you receive a new message or update. However, the icon always changes to an envelope, which seems to indicate that you've received a PM even when it's just an update. Since an actual PM demands my attention much more than yet another SSX trailer being uploaded, you can see how this gets annoying.
I would have suggested that the icon change to the update symbol (the box with an exclamation point) when you get an update, but then there would be no way of indicating that there were both new updates and new PMs. So I think the number of new PMs and updates should be displayed somewhere outside of the dropdown menu, so you can tell at a glance whether you've received a PM.