You’re definitely not the first to bring that up. The way the forum devs appear to want to guide folks to new content is through the “Suggested Topics” box at the bottom, which will always display any unread messages. The way they’ve described it (and I’m having trouble finding a post on meta that shows this, but I know I’ve read it more than once) is that the “Suggested Topics” box is like the “prize” for reading through the thread. You’ve made it to the bottom, and you’re “rewarded” with some unread topics to click through to.
It doesn’t necessarily mesh with a structured approach to reading, through. The push seems to be toward a loosely-integrated overall “forum state,” where you manually track topics, and more toward an automatically managed “flow” of messages.
It sort of makes sense; I see the merit, even if it’s not how I normally read. For me, I hit “Latest” and then middle-click on everything I want to read, spawning new tabs for every new & unread discussion, and then I read each one through, replying as needed and closing the tab when done. This usually leaves me back with the single “Latest” tab open, and at then I can refresh and hit up messages that might have been posted while I was posting.
One more note, perhaps the most important one: the devs say that they are being very careful to not break the browser’s Back button, and that browser-based navigation should always work. So, if you clicked through from Latest to a topic, you should always be able to click the Back button (or just smack “Backspace” if your browser supports it) to be pulled back to Latest.