When you are PM screen, go to the box at the top of the messages that says "jump to folder" and click on message tracking, that option will show you when and if a message has been read yet. Took me awhile to see that also. The old boards way of doing it was much better IMO.
What i cant quite figure out is when i read a message then come out it says i got 1 unread message and two messages in folder then when i go back the unread message is the message i read so i delete it and then it says i have 3 read messages in my folder even though all are gone, it dont make sense