I have two other IMAP accounts besides my iCloud account, and all are acting the same way. I have a number of Rules set to copy (not move) messages from my Inbox to specific folders and sub-folders to sort my mail. When I check the IMAP accounts, I'm used to (in Yosemite and before) the read/unread flags affecting not only the message I've actually opened (or just previewed) but all copies as well because of the way Conversations grouped by Subject. This meant I could read mail sorted in their respective folders first and then upon returning to my Inbox know immediately what messages needed my attention. I could just delete the marked-read messages and concentrate on those remaining as "unread".
But now, it doesn't matter whether I read the message in my Inbox first or in one of the Rules folders first... the read/unread flag only affects that particular copy of the message I've read, regardless of conversation or not, multiple copies in multiple folders or not. And I also see that previously-grouped messages are now standalone, so the folders are filled to overflowing with individual messages instead of a handful of grouped conversations.
I've tried everything short of rebuilding the mailboxes (there are a lot of them). I thought I'd try that, then I discovered this thread, so apparently that would be a waste of time.
Sadly, I spoke with Apple Support and the tech didn't acknowledge what has obviously been a longstanding problem.
:-(