im not sure this would be worth the effort.. i would only see that this would be needed to save time or clicks or something when viewing the messages, the best way i could see this working from a software standpoint is to create some sort if 'inbox' but it will would be easier, to just link to the direct messages (maybe you could do that, if theres only one message, link right to the message, if theres more then one, then your message page)
but overall i don't think it would be worth the effort to acctually 'see' the messages without just going to the page, since there is only click access there.