Resolution: Cannot Reproduce
I'm subscribed only in 'Russian Moodle' course. One day I've got message from one user/
By searching for that user i found, that there are at least two users named "Сергей Егоров", but search form on http://moodle.org/message/index.php founds only one of them and it's not user, that i'm looking for.
Аdvanced search and checking "only in my courses" causes error "Error reading from database".