Yes the phones are a bit limited on the notification flexibility, however you could try a third party app such as Handcent which is much more customisable for notifications. If you do decide to go with Handcent then you must make sure your notifications are turned off in the standard SE app.
For example in Handcent you can go in to Menu>Settings>Notification Settings and set things like Message pop-up and within just this there are lots of different settings for pop-up alone. You can then access Notification Settings as a further sub menu and one of the settings here is privacy mode which stops it displaying the message in the notification bar. You can change your vibration, you LED colour and blink rate etc. Basically you can spend some time getting the messaging to act just as you want it to rather than the simple on/off settings within the standard app.
