There have been some requests in the past to turn off the big red message at the top when you receive a PM but it was never an option... until now!
I have added an option on your option page ( User CP->Edit Options ) in the "Messaging / Notification" section called "Display Private Message Alert", as seen in the picture below. If you want the message to be displayed check the box, if you don't want it there uncheck the box and Save your preferences. At this point, I have defaulted the option to "on" so if you liked it already then you don't need to do anything!
If anyone has any questions or concerns about this please let me know!