While visiting the various sites, the top StackExchange shows 2 inbox while nothing is pending nowhere.
Did refresh a lot...
How can I fix that or find out where some messages are waiting?
As T.J. Crowder surmised, the problem is that the items in the inbox are being sorted by their "tooltip timestamp" instead of their actual timestamp.
This is a side effect of this feature-request, it just so happened that the events I tested with were in order by both relative and absolute timestamps (at the time I tested). My bad.
This has been fixed in the repo, and will go out sometime today.
Same thing happening to me and it drives me nuts. It lights up red showing (1) or (2) or whatever, but then when I click it and go to the Inbox, all I see is the same stuff that's been there. Perhaps it's an issue with the sort order? The top item for me has been a comment on an SU post of mine that dates from yesterday sometime; definitely not the most recent comment I've had.
It's a good idea (a very good idea), but there appear to be some gremlins...
Update: It's a sort order problem (or at least, there is a sort order problem; I don't know that it's the only problem). It just lit up on me again, and so I walked through the list, and found that I had a comment from 20 seconds earlier appearing half-way down the list (below the fold) bracketed by comments from yesterday on either side. See this question that KennyTM linked to, the order's just all messed up.