I removed BBM and never used it so that's not it, I have 0 text messages not even saved. I do have WIndows Messenger but no messages unread or otherwise in it. It doesn't look like any of those icons in that image above. It does look close to the last one but it's not a circle it's like a text bubble. Hrm, wtf.
Best thing to do is to post an actual picture of the screen... BBSAK can take pictures of your screen... also CaptureIt, but I don't know if anyone still has CaptureIt out there anymore.