The thread list functionality has changed. See
this thread.
By clicking on a folder you now further filter the view selected in the select box (All Discussions, Unread Discussions, etc.) at the top of the thread list. Previously it would switch to All Discussions when you clicked on a folder.
In your screen shot, what you're seeing is what you have unread in the General folder
only, hence the notification box telling you that. If you were to click on Teh Forum folder you'd see what you have unread in that folder only and so on. To View Unread Discussions in
all folders, click the "Click Here" link in the notification to clear the folder selection.
It's a bit of a dramatic change and It'll take some getting used to, but it's more powerful now as it allows you to filter more finely.