are u sure u don't have other folders or a sms marked as unread down in the list. are u using the conversation style or the normal single sms style. if the conversation, then try to open all the sms's u have as there might be one somewhere and u don't know. try to use xperia tweak (can be downloaded from the download section in this forum) and cancel the conversation style and check if u have any unread sms.
last option would be a hard reset but make sure u backup all ur data before doing it.
keep us updated how did it go and if any further assistance is needed.
I was looking around when i found this interesting registry key. u may give it a try before doing a hard reset. it is found under HKCU>System>State>MessagesSMS>Unread in there u should find a key called Count, click on it and make the value 0 (zero) and guess this will solve your issue hopefully.
The Following User Says Thank You to grtmoby For This Useful Post:
NICE!!!...I use the xperia tweak and change the sms style....I have find the "lost sms" and the icon go off....thx!!!...U are the best in the world!!!....