I designed it a long time ago and the Mbox page polls the server for changes. If you leave the window open it could potentially keep polling non-stop. If their is inactivity for some amount of time, it will stop polling and display the dialog. Clicking Yes should re-enable the polling. Similar to how Pandora will ask if you are still there. It's probably not the best way to do it but that's how it is ATM! :)
Rather than pop up a confirmation box, how about just have an embedded box with a status on it. When you first go in to your message box, it would say "Connected" or "active" or something and be colored green indicating that any PMs or updates would be displayed. And when it finally times out due to inactivity, it would turn red say "Disconnected Click to refresh"
That way it wouldn't pop up and annoy anyone who happens to keep it open for long periods of time but it would also ensure people know what's going on.