It's just the way PHPBB works. Becasue you went away, your 'session' was lost, and i guess due to database design and cost of queries, it does not make sense to leave the messages unread forever until you either read them or click mark all messages as read as the database would get too big.

It does not store what messages you read, but when was the last time you came here.

So what the icons are showing is :
"new messages since last visit"