Apparently you have to choose "mark as read" after having clicked on a message. But I like it more where if the number in the top right of the screen is in bold and says "1," "2," etc., that it implies you have unread messages, because when I click on it and see that I've already read a message, and it wasn't telling the truth when it actually told me I had unread messages, then I get very slightly annoyed or something...
http://imageshack.us/photo/my-images/542/oldschooldickhead.png/
...none of which I expressed to this guy above who just banned me from responding to him in PM about it. I guess he's still annoyed that I thought he looked like Dave Halverson in his profile pic.
If I'm wrong, as I likely am, and no one else SUFFERS from this problem, of seeing sometimes on forums that it says "unread messages," not just at AtariAge's forums... and then you click on it and realize they are in fact messages you've already clicked on and read... then well so be it. Sorry!