Its a privacy issue because you're invading on their activity. Say you were sitting there constantly refreshing waiting for me to read it, not only is that creepy but also loads the server remembering who read what. The idea Nick is to create the best service with little server impact. Quite frankly, I see absolutely no reason to have this added, since a person might reply once they've read the PM. Either way the PM system is perfect as is.
The server already logs whether they've read it or not. It's just a matter of displaying that information another time. Nothing more. Won't add any server load really.