This is because the forum software is written to do that. When you log in, it reads the last time you visited from the database and stores that in a session cookie. It uses that to calculate whether or not there are any new posts in a forum, so it will show the same icon throughout your whole visit.
In topic view, it uses a cookie to see if you have read a thread, which is why the icon changes after each one you read.
However, checking each topic in each forum on the forum select page would be a lengthy procedure, and so it isn't done, and so the forum icon won't change over your visit.
Hope this helps explain,
Blair