I notice a lot of the time you're double-posting. If you've posted on message, and want to make another, don't go and post one straight after. Instead, use the 'Edit' button at the bottom-right of your post to edit in the extra message.
Also, when you get a visitor message on your page and you want to reply to it, go to the user's page or click 'View Conversation' so that they'll notice it. No one's going to notice a message intended for them if it doesn't arrive on their own page.