What version are you running and what browser are you in? I'm on 13.1 in Chrome and currently have 2 unread messages: one in my Junk E-mail folder and one in my Portal Activity folder. When I click on each of those folders and apply the Unread filter, it works as expected.
One thing to double check - when you apply the Unread filter, are you in your inbox or another folder? The filter will only apply to the folder you're currently in.