When you have the Notification popup enabled, it will automatically count that message as read (unless you miss a popup for some reason. ie, out of service area, handset turned off, multiple messages at once, etc).
You can disable the popup by going into your Handcent App, Click the Menu button, Select Settings, Select Notification settings, remove the check from the Enable popup checkbox.
However, doing so will mean that you will no longer get the automatic popup on inbound messages.