EDIT I learned about selecting only Unread messages in my Inbox here. When I tried it, there were no messages shown, but selecting Mark all as read removed the indicator, so the issue was resolved. I then found this is exactly what was asked here and answered here. So this one is actually a dupe, and Inbox icon indicates an unread message, but no messages are shown under "unread" is a better reference for that. Plus, I guess How can I view unread messages? should also be tagged as a dupe of the first one.
At the top right of my SE sites, I have a permanent indictor of at least 3 unread messages in my Inbox. Whenever I get new messages, that number increases accordingly, but it never goes below 3 (as if it were my new zero). I cannot find any unread message, so I suspect it is a bug. Why is that? Can it be fixed? Or how can I go straight to those unread messages, in case it is not a bug, so they reset to zero?