It's because it will be sent via mail. You will receive it later or if you try to change zone using a wayshrine.

The mail system is super slow. You might have to move to a different zone or even log out and back in to get it to show up.

The others above wrote it already
And it also works when you're near a refuge entrance and enter it, the mail will be there right away. That's what I personally prefer over relogging or using a wayshrine.
Also, sometimes it even works when you click on your inbox, I've seen messages arriving in that exact same moment several times already, so I guess it was not a coincidence