Maybe I'm doing something wrong. I see an notification for a new unread reply. I open the unread replies page. I click on 'link' to go to the thread to see the context, and reply if I feel so inclined.
But that notification doesn't go away. The reply that I clicked on and read is still showing as unread. I have to click on "mark as unread" to make the notification go away. However, if I do that before I click through to the thread, the reply disappears and I can't click through to the thread. So I have to go to the thread, read & reply, then go back to my unread replies page to mark the reply as "read".
If I've clicked through to the thread where someone replied to me, then you can safely assume I've read that reply.