PM systems are very tricky so please report any bugs here. We recently upgraded how PMs are handled in our site.
Before, when you clicked to read a PM and then clicked back, all your PMs would suddenly show up as being read. This was inconvenient because sometimes you'd forget which PM was read and which wasn't.
Now, when you click to read a PM, only that one PM appears as being read. Your other new PMs show up as unread.
There's also a new "Mark as Read" button so you can mark multiple PMs as being read simultaneously.
The only known glitch is that the first time you visit your inbox, some PMs you've read will appear as unread. Comment here with any issues you see.