You can do it but it's a two (or possibly three) step process. At the top, under the logo and "Hello ghostbiker" click Show unread posts since last visit.
In there click the button Mark All Messages As Red (nb not the other, mark selected read one).
If that doesn't do it let me know as it may need another step.
It's all swings and roundabouts, and the advantage here is that you can view all unread posts on a single page.