If you load Page A, then load your inbox, the icon will still be red on Page A. I doubt this is the cause, since I assume most people are familiar with this behavior, but it seems useful to mention just in case :)
This happens to me and has happened in the distant enough past that I don't think it's related to recent PM trouble. I normally attribute it to someone having replied to one of my comments and then deleted the reply before I load the inbox page, but that's only a guess.
That didn't occur to me, but it seems reasonable. I guess PMs just jumped to mind since there was some problem with them recently.
I just saw the letter icon under my username in orange, indicating that there should be something new in my inbox; but when I went to my inbox there was nothing there I hadn't already read. I wonder if this could be related to the recent trouble with the PM system? I sent a PM the other day and might have gotten a response to it which triggered the colour-the-icon code but not, perchance, the actual display-in-inbox code. Can I get a volunteer to receive a PM from me, or to PM me, and test whether the response shows up in the sender's inbox?