It's because some people don't respond to the PMs and don't even check their inbox. They usually check their own threads and hence when you say that you have sent them a PM, they go and check their inbox (it's necessary as sometimes a member who has offered a job/task receives too many PMs and hence he doesn't respond to all or misses out some pms). I know it's sounds silly but it's necessary to do that especially when it's a task in the Services section as usually people need just 1-2 members to do their work and when there is no reply on their thread, another member thinks that nobody is doing that job when actually they might be.
Hmm, I see. It's kind of hard in my opinion to not notice PMs though, but I guess that's a valid argument. Surely the pop up notification that tells you about an unread private message draws your attention to it, though?