A while back I had the same problem. Try deleting your cookies. It seemed to fix the problem for me, but I am not sure why it happened to begin with.
If deleting your cookies doesn't work I'm not sure what the problem is.. I'm sure someone will be along shortly with either the answer or another
suggestion though.
There are a couple of glitches with U2Us. Either it shows as constantly having a new U2U or it shows a new one as read. To get it to stop showing
new, just save the last message you received, or delete it and it'll go away.
When that happens I go ahead and delete all my U2Us and it goes away.
I know it's a drastic measure but it works.
Try deleting all the U2Us you don't absolutely need and see if that does it.
There's a glitch in the u2u system, if you have more than one new U2U, it won't bold sometimes. So those go unread, and as a result, the light will
stay on, I'd check and make sure you've read all of your messages, that does the trick for me.