I've purposely (for reasons that made sense at the time, but I'd be hard-pressed to explain right now) made it so that if your edit window is still available on a message, you can't mark that message as the last read one in a board.
But, as you likely know by now because of the email I sent you upon seeing your screen shot (btw, never seen anyone else use a digital camera to take a screen shot -- do you also have whiteout on your screen? <ducking and running>) the problem is/was that the Edit Message text is red and you've set your menu background color to red. I'll make the Edit Message foreground color the same as the rest of the menu buttons next week. I like it being red so it's noticeable, but just how noticeable does it have to be? Same color as the rest should be just fine.
Edit: I remember why I made it so you can't mark a message as Last Read while the edit window is still available: Not enough room for both menu options.
Change your menu background color to something else over the weekend and you'll be able to see the red "Edit Message" link or just click the blank space. It's clickable, even if you can't see it because it's red text on a red background.