that is the only liminitation, you could also have a new window open with a list of members, simular size to the window which opens to add a buddy, with a list of members.
Its a good idea, but i think (and problerly many will agree) having any sort of sounds opens in HTML is not wise, for people who have slow connections even if the sound is a small file, it would not be wise.
A best way is to open a new window, a simple one saying "You have n New Messages".
But we could do with a PM bar, like their was for the 5.x seriers, where you had a bar with a header and then the the cell below says what you have, you could even take the Idea off the VB where if yo have a new message you would have a flashing bar.
One problem i have had with the current PM hacks, is the fact it uses cookie's, and i find it inaccurate, it would be best to do a sub routen which got the codes rather than java script.
If their was a proper PM hack for the 6.2 seriers, the PM would become a main feature like it was, but their is none, and this is why so many people have a question about it.