I just noticed that you don’t get a high priority notification badge, if you are mentioned in a personal message. You just get a normal notification badge.
At the moment you see
I think it would be better if the notification for a pm in which you are mentioned would look like the one for a pm. At the moment a pm without a mention is more emphasized, than a pm which additionally mentions you.
While searching I found this post
which says that it should be different, but I could not find a topic explainig why this was changed. It still works this way for quotes and replies.