Because you're probably clicking on the name of the sender that appears on the left hand side of the page that opens the PM history between that user and yourself. To "read" the message and turn off the flashing icon you'll need to click on the "eyeglasses" on the right hand side of the page.
Or mark it as read from the front page, we are NOT going to do that by default because large pms will not show on the front page we onlky show the first few chars of a message.
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