This is a known issue logged by Apple, and here is a Knowledge Base article that goes into the details of the resolution:
Your iPhone, iPad, or iPod touch may not always update when you read, delete, reply to, or move messages in MobileMe Mail, or in an email application on your Mac or PC.
iPhone, iPod touch, iPad, MobileMe
If your MobileMe Mail account is configured to use Push (in the Fetch New Data settings on your device), your iPhone, iPad, or iPod touch will automatically update to reflect the status of your MobileMe mail only when you receive a new message in your Inbox at your MobileMe email address.
Push notifications only work for new emails delivered to in your Inbox, not email read status.
Here are some examples of when you won't see messages automatically updated on your device:
- if you read one of your MobileMe emails on the Mail application on your Computer so the email is marked as read, that email will still show as unread on your iPhone, iPad, or iPod touch until you open Mail on the device. Once you open Mail on the device, the message status will be updated.
- If you're using MobileMe Mail rules at me.com and have rules to move some messages to folders when they arrive in your Inbox, those emails will not automatically push to your iPhone, iPad, or iPod touch. You will find those messages in the destination folder set by rules the next time you manually check your mail on your device.