Following habit of doing everything but things that are on schedule, I've just updated Misago to latest develop that adds improved alerts functionality.
Like before the moment you get new alert, star pops up by your name in navbar with number of alerts by it. When you click it, JS does it's magic, displaying list of recent alerts on page you are on.
List is preserved between requests meaning those alerts are there for you until you logout or tell tell it to go away.
Final improvement to alerts functionality would be an e-mail heads-up for infrequent visitors, but that will have to wait for 0.6 release.