You can view all unread messages in your Conversations Inbox. You can also filter messages to show only unread messages.
Click the Inbox link.
All unread messages have a blue dot next to the message[1]. Once a Conversation has been read, the blue dot disappears.
If you want to mark a Conversation as unread, hover next to the message until you see a dot and click it.
To view only unread messages, open the the Inbox drop-down menu [1]. Select the Unread [2] link.