I have experienced this little bug also. After reading all “unread” messages, the blue notification number at my profile picture did not disappear, what it normally does, unless there are notifications, which are NOT replies but some other stuff (mentionings, new badges etc.).
As far as I remember, after clicking on the profile pic the notification list showed exactly those posts which I had just before gone through in the “unread” list. Clicking on one of them made the blue number disappear. I did not pay much attention but will take a better look if it happens again.