Go into EVERY folder and hit the U(for unread) button. Check all folders including hidden folders, Saved Message folder, PIN messages, Missed Calls logged in Message folder (open Missed Call and VM Messages to clear).
If you have your general " Messages" folder hidden (Menu-Show All), check there. Check this folder for any Activation messages. PIN messages only go to that folder also. App World update messages also are only logged in this folder.
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Try a battery pull.
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