No. Not full.
I did have two windows on prime open at the same time i received a message last night.
I only received an email for one message but when i went to "your notifications" it said i have two unread messages but i could only find one unread message in my inbox.
Now i have no unread messages in my inbox but it still says i have 1 unread in "your notifications"
I assume you're aware that in the list of private messages, the unread ones are shown in bold. When you click on "Unread Private Messages", it will show you the list of ALL private messages, read and unread. They are in order by date/time, so the unread one is not necessarily the first one on the list. If it's old and you've received and read 50 messages since then, it might not even be on the first page. Is it possible that you have an unread private message but it's buried somewhere down in your inbox?