User blog comment:DaNASCAT/Technical Update: April 3, 2012/@comment-3459498-20120407074000/@comment-3441771-20120407091356

"'sends you to your message wall, but more often than not, the message isn't on that page.'"

...It should then make the "notifications" drop-down appear. Then you should see the link(s) to the pages that have the messages on. The url has, or   or something like that. I'll test it in a mo!

The reason why you can't be sent to the page is because you can have multiple notifications. :)