There are many crazy things about 3.0, and I try to not let it bother me. I, generally, delete a message, and, then compact the folders, so it is irrelevant if the message is mark read or not.
Since it is a message by message situation you should be able to select Message|Mark as read. If there was a check mark, it should go away. Of course, this is of any use, only, if one moves messages back from Trash to Inbox, or whatever.
UserAgent: Mozilla/5.0 (Windows; U; Windows NT 5.1; en-US; rv:1.9.2b3pre) Gecko/20091115 Namoroka/3.6b3pre
"I've got a very poor sense of direction. I keep forgetting which way is forwards."
WinXP, SP3, 512 MB, FF3.6, 3.6 portable, TB 3.0.3, TB2.0.0.24, and FF3.5.10, FF3.7, TB3.1, SM2.0.4 nightlies, Google Chrome, IE8.0, Zone Alarm Firewall; AVG9.0, JRE1.6_18