When you click on an unread inbox message with your mouse, it brings you to that item - be it comment, answer, chat ping, mod message reply, etc. - and marks the inbox item as read. However, that behavior is not mirrored when you use the keyboard to go to that same item, by using the i shortcut and then selecting an item with, e.g., 2. Using the shortcut will still bring you to the message item, but the inbox notification remains marked as unread.
I did make sure to test that this wasn't a userscript-caused bug, and it occurs on both Chrome for Ubuntu 22.04 and Chrome for Windows 10.
This isn't the first bug related to keyboard shortcuts that the changes to the inbox have caused; it might be worth adding "test keyboard shortcuts" to the checklist when testing new changes on your dev instance.