Actually, you can handle that stuff now.. On the right of every message, under "controls" are a bunch of little icons. If you hover oven them they tell you what they do.
1. To kill those old, unwanted messages, just click the "Delete" Icon on each message. It'll go away forever.
2.) To clear that banner message, click the "Mark as Read" on old messages. Once everything is marked as read, the banner message disappears and only comes back when you have a new, unread message.
3. To get back to the list, in case there is no banner, on your MadSpace page there is a link on the left "My Messages" that will take you there.
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HalfBee:
Since you asked... There's a message at the top of every page saying 'You have an unread message - CLICK HERE to read messages' and it does take you to the messages list, but it never goes away after reading them.
There's also no way to get rid of messages, have some from long ago trolls and such still hanging around that also would be nice to purge periodically.
Buzz ON
HalfBee