When I look at a forum the new postings will have a red arrow above the Bonneville oval on the left side of the page.
When some one replies to a post sometimes there will be a red arrow and sometimes no red arrow?

What am I doing wrong?

Look at the bottom of the area, ie general chat, there is a legend there explaining each icon.

I see those bit what i usually see is the is the second one without the red arrow.

I see this dark blue icon even after some one replies to a post.

The system looks at the time you were last on and the time of the new post. If you refresh a page in the thread, the system will assume that you've seen the post and the red arrow will go away.