I assume you've tried to page all the way to the top of the general messages folder, click the date and select Mark Prior Opened? Or try the same in each message folder if you have them separated
I've had this happen a couple of times and have found that for some reason the date on my phone had changed and the messages were dated as a past date. I had to go in and fix the date.
I don't know if that's what is happening to your phone but it's happened twice now to me.
Has anyone not received a message that was sent? I am sure that the system can't be 100% perfect but I wonder if anyone has a proven example of not receiving a message.