Its a known bug with some OS builds what OS are you running? And you know that tab on the main screen between the sound profile (ie. Vibrate, silent etc...) And the search icon click on that it will show your messages and calander updates if you have any...
That should get rid of the icon and show ur message that's ur missing from your email but that message won't save
I reccommend updating your OS to 7.1.0.523 or higher
check your "messages" folders, as opposed to your individual email inboxes and the sms inbox.
if you have keyboard shortcuts enabled, that's "m" from the the homescreen.
Do you have Google Voice installed? I always have the notification LED but no message.. I have to go into GV and mark everything read and/or close it out..