Did you go into your profile and make sure that there is a sound set to lvl one mssgs? Some of the stock profiles only vibrate when you get certain mssgs.
I hope you don't regret your BB, really great phones once you learn your way around them.
I am not sure why it's doing this. I have everything set to tone and a ringtone set. Its only when my phone is on Ringer (Normal). When my phone is on vibrate at work, I get all the messages.
Yes, on the normal ringer you still have to set a tone for IM client. It is not automatically set by default. All the instructions are above for how to do this, its quite simple once you figure it out the first time, Believe me I was there once..while its frustrating to have to set a tone for every little thing that happens on the phone, you have to realize how many little things need tones and they don't by default set a tone to every one of them. Follow the instructions Bajan left a couple posts up, or better yet use the lecture series link provided by Adam and you will see what we mean.
P.S. I have like 10 of those N.K.O.T.B pins from back in the day