For the first time ever, this bizarre little window opened as I opened the PM I got from Roxas just today. I have never seen this before, and being a cautious cat, I hit Cancel. Any idea on what this is?

I think it happens when the person that's sending a message checks the tick under the options. It just lets them know when you're reading it. (I think)

That just means they want you to confirm that you got the message and read it. This is an option available on any PM sent. For example, Cat sometimes uses it for important messages to staff and they would have to click "OK" so Cat knows they actually read the message. Think of it like a package arrived at your house and you have to sign for it confirming that you did indeed get it.

I've used it six or seven times myself on people. Useful feature.

*closes*