When you send a PM you can either request a receipt confirmation or not. If you don't, you don't get one. If you do, the message will sit in your "Unconfirmed private message receipt" folder until the person you've sent it to opens the message. When they do, it will be moved to the "Confirmed private message receipt" folder.
When you open a PM that has a receipt confirmation (you won't know whether it does or not), it will automatically confirm you've received it to the person who sent it.
If you have messages sitting in the Unconfirmed private message receipt folder, it means you've requested a receipt confirmation for it and the recipient hasn't read it yet.
