I'll suggest you take screennshots the next several times you go into your PM, and if you decide they're different other than content, post a few so we can see what you're talking about.
Caveat though: If you have messages waiting for you to read them, you'll first go into an unread messages area, from which you can then navigate to all PM's. If you've read all your messages, however, you'll just go into the all messages area. I've never seen PM behave any differently from that.