We're seeing an issue with a number of users who are showing the 'unread messages' badge in Yammer, but those same users have no messages to read - I've attached a screenshot.
I suspect that the cause is announcements posted to a group, then the group has been deleted before the users in question have read those announcements (in this case, the announcement was that the group was going to be deleted!)
Service request is definitely the answer. Had this happen for me and several other people. The service request people have a way of finding which thread is half-marked as read. They'll give you a thread ID / URL, and once you read that particular thread, the unread alert goes away. Known quirk, but they shouldn't charge you for the call.