Also verify you have an alert setup under profiles > Set Ring Tones/Alerts > Instant Messages > Blackberry Messenger New Message
Verify you aren't on Silent or any other profile that might not make sounds for messages like that.
If it's a custom profile, check the Instant Messages setting under that profile.
I know this is all basic and you have probably already checked this, but I have forgotten I was on a silent profile before and wondered why I looked down at my phone and had 10 missed calls and 25 new messages and never heard a thing.