I guess that "digging" was a bit of an exaggeration. Simply put, I like having that marked message show up like it does as it jogs my memory. For me it is easier to have my "task list" pop up in from to me every time I log in than me having to remember to go check it. What can I say, I am lazy!
I'm lazy too, which is why I'd rather not have to scroll down 10 messages to read every new one all the time when some of my characters have many messages they want kept around for reference.