It seems that they don't disappear on their own. It happens whenever I access/refresh my PM page. Everytime I access/refresh, a bunch of read become unread. A few more refreshes and everything is wiped back to unread. I hope nothing is corrupted.
edit:
So I tested a bit. I got a lot of threads marked read, then immediately went to my PM page and refreshed. Yep, all of them went back to unread. Tried it again, same result.
Now I've read a whole bunch of threads, and have not looked at my PM page at all. So far so good.