I remember well the times when there used to be a yellow envelope left of my user name, showing that I have new replies. This was really convenient as it showed me that I've got replies to something on the site I'm just on, as opposed to the red disc that tells me I've got replies somewhere. It's been a long time that I've seen the yellow envelope. Where has it gone?
And yes, when I took that screenshot, I did find a reply after clicking on the non-yellow envelope.
OK, the answers make clear that this is not a bug but a feature. Still I think the "bug" tag is justified as the implemention of the feature is strange: If I hover the mouse over the envelope, it says "you have no new replies" although I do have new replies.