Are you on a tablet or a phone-type device (two panels side by side, or the message view taking the entire screen)?
After you sort "unread first", where do you start, top or bottom message?
Note that by default "prev" takes you to older message and "next" takes you to newer message (there is a setting to reverse this).
You might want to try, as a test, start with the top unread message, and use "prev" to navigate to older unread messages one by one. Does this make sense?