Messages are determined whether they're new or not based upon when you login and view any single forum. When you view a forum, you reset your "new" counter for the entire forum (the programmers thought it would be too difficult for the forum to track each and every thread you have or haven't read).

So basically that's how it works and there's no real work around or fix to the problem. You just have to note what threads you haven't read in a forum when you're in it the first time if you don't have time to catch up with all of them at the same time.