I dont think I am explaining myself properly... When the thread is not expanded, only the first mail is visible. Any mail under the first mail is not visible, so it does not matter if it is a different colour, shape, size etc. Try it out if you use kmail - go to the folder where this list gets to, click the "folder" menu, click "thread messages". you now have a + next to the threads to expand and contract the threads. Collapse a thread and you will see that only the first message is visible. Now expand the thread and mark one of the mails as unread. It turns blue/red/green/bold/whatyouconfigured. Now collapse the thread. There is no way of telling that the thread contains an unread message. Maybe I've got a buggy install, or Im doing something wrong?
I found this subject on the KDE wish list, but apparently it is fixed!