If you have received a private message or an announcement, you will see a notification in your personal or academy navigation bar.
Once you click it, you will be redirected to your Inbox page where you can see any read or unread message in your inbox.
In case you click on the message notification but no messages appear in your inbox as shown below, that means that you have an unread message(s) on another academy in which you are a member.
To view all academies, simply hover over the UKG Pro Learning My Academies icon and select View all Academies to change your current academy in order to view the unread messages.