Actually, I think I know what is happening.
If you mark all as read, it only affects what you see when you use the Not Read link at the top of the forum pages. If you go into a specific forum, only the topics you have actually read show up as read, the ones you haven't looked at still show up as unread.
If you only hit the Not Read page, you'll be fine. But if you like to look at specific forum, it won't help you.