Then wouldn't it be easier to go in and select an option to get a "ping" every time someone mails you in-game about market offers? They could have a drop down list for which subject they are mailing you about.
I understand it would be nice, but this would create unnecessary lag, which affects the server, not the individuals. Plus, you'd need to implement buttons such as "ignore", "friend", "report abuse", etc. It would be like having MSN in the game: an entirely separate feature. That's why I said in-game mail is really all that's needed, because it has all that stuff, and it is live-time as well, because the amount of time it takes to respond is the amount of time the player takes to type out his/her message.