I'm reporting this as a bug. (Yes, this is probably not the appropriate place for this, but I couldn't find a better one).
In the Android app (not sure if applies to iOS), when you mark a chat as read by long pressing and tapping on the "Mark as read" item, this does not cause the chat to show up as read on the Windows Desktop Teams app. I'm guessing it doesn't mark it read on the server. Note that if you open the chat and read it on the Android app, it does appear read as expected on the Desktop app. Also it does work the other way - Marking as read in the Desktop version does cause the Android version to appear as read.
The notification consistency can be frustrating at times I find. In my case, more the fact that cleared notifications on iOS randomly return. I suspect this is one of these bugs that will get sorted in updates in time, but for right now I think you'll struggle to find a definitive solution.