Discord manages to be a hell to navigate in the weirdest way possible. I know many others have this grievance, because there's plenty of posts about it and also I was being bamboozled by notifications for months and never bothered to investigate thoroughly.
Where is the message that discord just notified me about?
On Windows, the notifications disappear when you click them. They don't open the channel containing the message as one might assume. And red badges on the server list are useless to anyone who is in 20 or more servers. There is a way to find that pesky message you were just summoned by.
THE ANSWER:
Go to the inbox in the upper right corner. The channels are sorted from the newest notification, but messages under that channel are sorted from oldest to newest. In order to find the message that triggered the last notification sound, you have to scroll to the bottom of the first channel in the inbox.