There may be more than one notification. I think you need to say "Alexa, Next" to go through them (or "Alexa, clear my notifications" to clear them all). I think to play messages, "Alexa, play message" should work - it seems like if you say "play my messages" it is getting confused with an old skill which was called "My Messages" which has since been deleted.
Some of this is speculation, as I am unable to test any of this because I am in the UK and therefore don't have the notification or messaging support.