I actually figured something out that helps a little. As I said before, setting the 'alerts' preferences to beep on private message or highlighted message does not work. However, if you set those alerts, then go into the sound preferences, and set the 'beep' action to play a custom sound, it works! I first tried with an mp3 file, but that didn't do anything. Then I tried a .wav file and that is working fine. It would still help alot if it there was some way to make the phone vibrate, but having the sounds work is better than nothing.