I have this issue as well.  Any update on progress on changing this behavior.  This is especially troublesome when I leave my computer running at work over the weekend and I get no notifications for the weekend until I go back to my computer and shut down the windows app.

OP, have you found any workaround?  I find that the only messages that get automatically marked as read are those that are part of the message thread that is open in the windows app.  Other threads seem to show the unread box and notification on both the windows app and the phone app.