In the past I have missed private messages when logging on because there is no real notification that they exist, other than just below the title script for the page. I suspect that others miss them too, since my messages to others have gone unnoticed for a time as well.
I post on a few other boards and I get a pop-up when logging on if I have a private message.
Does anyone else see an advantage to this? Any reason not to do it? Is it even possible with vBulletin?