Same here. The spam bot is probably hooked into the list of members online and once it sees you it sends a pm. That's the impression I got...It seems to be hooked into some part of the forum. I didn't have message at first neither.
I went from "Watched Threads" to the index-page, "About PlanetCalypso", this thread, read it and navigated backwards to the index-page. And that's when I also received it.