How about "There are new messages on a talkpage you are watching."?
That's better, but it's not necessarily true: you're notified of updates to any thread you've participated in (unless you explicitly unwatch it), even if you're not watching the talk-page, and you're notified of updates to threads on your own talk-page, even if you're not watching your own talk-page.
Maybe "There are new messages in a thread you are watching"? That's technically true, even if the user didn't intend to watch the thread. It's still misleading in a case like this one, where the "new message" in question is actually the very first message in thread, but hopefully it's at least not confusingly misleading. (And it has the advantage of subtly implying that it's possible to unwatch the thread, which is something that the user might not otherwise realize.)