I was sick of not getting warnings about how full the PM box was until it was actually full and someone tries to send you a message. It is one of the few things that the old phpBB forum did better.
I've now created a message, which you may or may not see above, that will only be visible if your PM box is 95% full, that is, it only has space for 10 more messages. This seems to be an appropriate amount to me, but if it's not, let me know.
It's a bit intrusive, but it's meant to be.