I'm running into the same problem. So far I know its not the 5 or 6 tab HTC plugin nor slide2unlock2 nor the threaded SMS. I read somewhere about google maps 2.0 possibly being the cause so I deleted it but eventually ended up missing a text notification.
One odd thing that I noticed was that when I realize I've missed a text, I'll go into my threaded SMS notifiction in the settings menu and hit the play button and no sound will play. If I hit play repeatedly it'll eventually play sound after a few press of the button. Also if I switch the sound of the notification and hit play I can get the sound to play at the first press. I'm using a custom mp3 text notification by the way. Today I switched the location of my text notification from my documents folder over to my windows folder. I'm just trying to see if that makes a difference.
Try and see you can get the same results as I do once you notice your missing your text notification. It would be interesting to see if its just a coincidence or if we're onto something.
By the way here is post from a few days ago with others experiencing the same problem
http://forum.ppcgeeks.com/showthread.php?t=12782