Weird iPhone SMS interaction

Image by katielips via Flickr

Whenever I receive an SMS on my iPhone, it is shown on the welcome screen. When I unlock the phone, I see the iPhones main menu with the number of received SMS messages shown on top of the SMS application icon, this isn't what I expect it to be. I would have expected that from the moment I unlock the phone my SMS messages would be shown or at least the last one so that I can immediately reply. This really irritates me, it is not behaving like I expect it to be!