I've noticed that if I set some messages to Pause and multiple messages occur at the same time, I have to close each one, but other messages I only need to close the first and the game unpauses. This seems to be a change in version 1.3; in 1.2 it seemed that I had to close each message in all cases. For example, messages that a country has discovered a province all need to be closed individually, but a message that I've increased market share does not.