Your certainly not the first person to ask this (indeed I'm tempted to add it in the faq).
the problem is, if there was a way to enable it in the admin settings, it'd already be up, indeed I'm a bit confused since the forums over at project.aon, which also use PunbB do have a private message counter but there absolutely nothing available here.
Failing Sander installing a new extention for private messages there just isn't a lot we can do at the moment beyond sugesting you check your private messages link regularly.
With our dreaming and singing, Ceaseless and sorrowless we! The glory about us clinging Of the glorious futures we see,
Our souls with high music ringing; O men! It must ever be
That we dwell in our dreaming and singing, A little apart from ye. (Arthur O'Shaughnessy 1873.)