Mailbox is not setting the 'seen' flag automatically. However, when you are using POP3 or IMAP, the remote server may set it. In this case it may (or may not: depends on the server) help, to explicitly reset the seen flag after you have looked at the message:

  $msg->label(seen => 0);
[download]

The same call for all folder types, but not all types have this implemented.

This is probably a question for the MailBox mailinglist, see http://perl.overmeer.net/mailbox/