I think this was included in the new update in this feature. It doesn't change once you've read. The only way this would change is by replying, or deleting the message. I think it was made for convenience, so if you like read it, but had no time to reply, next time, when you scroll over, it reminds you it's still a new message.

--Update--

Sorry. I found out what it is. It doesn't me the message is 'New.' If you click on the New label, it will mark that message as 'New' until you've clicked it again. So it's kinda like a stamp system, just there for helping you remember things. 

oh  cool