I have a similar problem. I don't subscribe to any threads, but when I visit the forum I click on "New Posts," and when I click on the "first unread" icon I'll be taken to a post that I've already read.
I've also found that once I click "New Posts," the site will assume I've read ALL of the new posts, whether or not I really have. So in order to make sure I'm up to date on the threads I'm following, I HAVE to read ALL of the new posts - even if at times if I don't have time, or just don't want to, read ALL of the new posts. Why can't the "first unread" icon stay until I've either actually READ the thread, or declde to click "Mark Forums Read" in "Forum Actions?"
"I'm Rick Harrison, and this is my pawn shop."