Conversations that are marked as new will automatically mark as reviewed when you open the conversation to view the new message(s).
You can also toggle the read state to manually mark a conversation as new or reviewed. From the main Messages screen, select the conversation you want to update and select the information icon to open the Conversation Details pane. Select Mark as New.
Unlike voicemail boxes, each subscribed user maintains their own read state and archived state, so if one user marks a conversation as reviewed, it will still show as new for other users who have not yet reviewed it.