That happened to me shortly after the upgrade. It turned out that someone had quoted a post of mine, which generated an alert that showed up only via a () number on the tab. Mike investigated and made a change so that an alert for a private message to you placed a red flag next to the "Private messages" link at the right under the masthead. Alerts for other actions involving you or your posts still only show up on the tabs, apparently.
Some forum software (like those used by the Classic Forum Horror Board and the Home Theater Forum) have a "Notifications" icon/link in their headers that gets a red flag for all such things.