Edited to add:
Okay, I'm an idiot! Of course there are obvious envelope icons to the left (circled in green) and I'm sure now that's what you were talking about. When I first read this though, I looked at what I always thought of as blue arrows (circled in purple), and realized, hmm, those could be read as "envelopes," so I described what they do. Geez, sorry, that was dumb of me. How embarrassing.
I will leave the part below as is, because maybe someone is wondering about the blue "arrows" too.
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I always saw them as arrows - now I may see them as envelopes
But anyway, for me if I click on it it takes me directly to the first post in the thread that I haven't read. In other words, it pops me into the thread right where I last left off reading. So I use them all the time.
Bold print in the title means there is something in the thread (whole thing or even one post) that I have not read. Like this thread was bold when I clicked on it, but if I go back out now it won't be bold because I just read it. (But if someone posts a reply after me, it will be bold again until I read that new part.)
I think the color of the envelopes might have to do with how "hot" a thread is (how many replies, etc.). I haven't seen that they do anything else (do they?). Now I'm just as curious as you are.