For one, like a Tweet, you can only use 140 characters in your message which isn't enough if you are trying to tell a story. On the other hand, that is probably the point - so your friends don't witter on about themselves.
The biggest problem that direct messaging on Twitter has is it's sync issues. You can get a message on Facebook and it will come through on all of your devices such as your smartphone, PC and iPod Touch however once you have read that message on one of your devices it will be marked as read on all of your devices. This isn't the case with Twitter.
For the notification to disappear you needed to open the same message on all of your devices with the Twitter app. This is extremely annoying!
Luckily, with this new update that problem has been solved. It is nothing complex or confusing - it just syncs. So once you've read a message on one device, it is marked as read on all of your devices. Simple. This has been a much needed update and because of this I might start direct messaging people again.