No unfortunately it does not. I don't know if it is the theme I am using but the whole thing just kind of goes black and freezes until you respond (this is the 5800). It is the antithesis of the Palm new discreet notifications push.
You HAVE to choose read or exit and then you can go on using the phone. But from anywhere if you didn't take the option to read the message (exit) you can double tap the menu button and tap the upper right hand corner of the home screen to read all your messages, e-mail, see missed calls, go into Bluetooth settings, check your current connections and see a digital version of the current time.
My point is that corner should be there in EVERY menu, submenu, applications or ANY screen except when your application is in full screen mode. That corner information thing is one of the best things about S60v5 and I'll give credit where it is due. Much better than anything I've used. But it should ALWAYS be a touch away.