Shoutbox

Ah, I see. Indeed it has to do with the fact that all chats were with the same person. For some reason, when you close a conversation window, WLM doesn't close the 'underlying' switchboard connection (the technical part of a conversation session).
Therefore, when the same remote user also closed his/her chat window and starts a new conversation with you, the same switchboard session will be used.

When all of this takes place in a period of about 5 minutes, you won't get a notification.