Just a thought that im sure has gone through many peoples mind.
How about a Ding or an audible of some sort to notify you of PM's. Too many times have i not noticed a pm. So I was just thinking what if it had a Ding.
=D
...anyway, since the chat is Java, I know that it should be very easy to have a sound play whenever some action occurs. So, I don't think it would take much time, but that doesn't mean I think the idea is worth the trouble!