if we have to press it for that how the hell are we going to go to the XMB while pressing a game?
The PS Button would only take you to the message while the indicator says there's a message waiting for you. To access the XMB, simply press circle to exit the message to return to the XMB.
Think of this type of feature as a macro. It's actually pretty simple, and I find it ridiculous this hasn't been implemented already.