Some people have problems with their private messages not coming through. The forum is set up to have a default setting that means that if your inbox is full it should delete an old one as a new one comes in (because it only stores 100 in each folder), but you may not have this setting in your own user settings.
To check this - go to the User Control Panel (top left)
Click on Private Messages
Select "Rules, Folders and Settings"
Check that the "if folder is full" is set to "delete oldest message"
I have heard reports that sometimes PMs do not get through, I'm not sure whether this (above) is the cause or something else, but in general if you've not heard a confirmation from someone it's probably best to check with a non-forum message (if you go to their profile page you can email them directly)