I implemented Visitor Messages today.
Not a high priority feature, but I wanted to see if my notification system was general enough for it, and it forced me to make some improvements to my notification system implementation.
I followed the vBulletin/Xenforo visitor-message implementation where visitor messages have one level of nested comments.
You always get a notification when someone creates a visitor message on your wall, but any nested comments on a visitor message collapse into a single notification instead of spamming you. It's like the convo/PM system in that way.
I also decided to *not* send notifications to you when someone replies to your VMs on other people's walls. Instead, I'd rather lean on the @mention system for that. (Of course, @mentions don't actually create notifications yet)
Finally, each notification is cleared when you click its go-to link. With convos/PMs, I can clear the notification any time you view the convo. But I decided not to assume you've noticed new VMs or VM replies just because you've visited that page of your user profile.
I'll finish the UI and roll it out when I wake up sometime.