This happens to me on TranslateWiki.net:

When a user creates a new account there, he automatically receives a message to his talk page and sees the orange "new messages" bar. The link in the orange bar leads to the user's LiquidThreads discussion page, which doesn't have any new messages. Clicking it disables the orange bar, but doesn't show the message that was sent to to the plain, non-LQT talk page.

See http://translatewiki.net/wiki/Thread:Support/New_message_for_a_new_user .

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