He may be referring to the PM list. As it sits now, you have to enter each PM in order to tell if it has been read. I thought at one time there were indicators on the list page. Did that get dropped some time in the past?
Stress the system until it breaks. Hey.. it works for Spacecraft.. why not here?
The problem with it being on the main page of the PM is that you can have Multi User PM's; so it'd be an all or none display... Whereas viewing it through the pm itself it'll show who's seen themessages(all users)