If I am currently on email "A" and I right click on another email within the same account (email "B"), and "Mark as unread," the message shows it is marked as unread for a split second, then marks as read once the reading pane switched to that email (not my intention, this just happens – the switching that is).
In Snow Leopard, I was able to click on any email in the message list, and mark as whatever, while not having to switch to that email in order for the mark as unread to stick.
Best Answer
Yes, that looks like a bug. Just use the menu (Message > Signal As... > Unread), the keyboard (⇧⌘U) or add the read/unread buttons to the toolbar