I'm not sure how many of our members know how to go directly to the first unread message in a thread you are following. The grey box with the yellow arrow in it is a quick link to the first message that you have not read in the particular thread.
I generally right click on the yellow arrow and select "Open In New Window", this will open a new browser window and keep my original list available to go back to after I'm finished with the particular thread. Of course you can left click the yellow arrow and go directly to the first unread message.
Hope this helps.