generally the red "*" icon goes away once you have opened the mail icon in which the new message is, or the main messages icon.
I did however experience similar issues with certain themes before...sorry, but if that's the issue try changing to a different theme or back to the stock theme...
Using the stock theme on my 9900 on 7.1.0.205 and not having any issues with mine...
I've had this before too on my Torch, although I've had it with Facebook notifications too.
As I want to still be informed of new messages, when it happens, I go into the app, select the date at the top, click the menu button and select 'set all previous as read' (or something like that), and the icon disappears.