Basically, I have mobileme, and when I read an email on my macbook pro, it does not make my iPhone mark the email as read, unless I open the Mail app on my iPhone.
I have an iPhone 4 if that has anything to do with it.
I'm seeing the same issue but I think it's because it is only pushing new mail and not refreshing your entire inbox. When refreshing the entire inbox you'll see the new mail will get marked as read.
Thanks for posting that I thought it must be a problem with my settings. Shame it doesn't offer a solution though. Is this a new "feature" in MobileMe mail? I have only noticed it recently, I think my mail used to update all statuses before the 4.0 update.