I'm not sure if this is the case, but usually if a message dosn't appear on my screen when I recieve it, it is because I pressed a keypad button. Have you tried recieving a message without the phone being in your pocket? If this works, it must be having its buttons pressed inside the pocket.
My fiancee's W580i has been doing that. When he gets a message it doesn't pop up. He's also had calls appearing in his call list..it's weird. I think maybe that series of phone just doesn't last for an incredibly long amount of time, which is a shame since I Just got the w760i.
Well whatever the cause is, Sony Ericsson are likely to create a patch for it in the near future if enough people begin to complain. A bit off-topic, but I think my K800i is in its last few months. I've had numerous button presses occur when I haven't actually pressed anything and when I was using the calculator function on it today, I had an unrequested box come up stating my remaining credit lol... Mind you I've completely re-vamped mine with a load of mods, so to be honest, if anything, it's my doing