Add the feature to flag important messages. These messages will be sorted in a extra tab (Flagged messages), just like expedition and alliance.
Could be a commander function, preferably not.

I think of it as well visible
Maybe the flagged messages could be placed on top of the inbox as well as giving them a different color.

Moved & Labeled as "Feedback Please!"
Thx for this interesting suggestion

After recheck this suggestion... I think is better to move to "Next Improvements" section, labeled as "Message system suggestion".