EDIT : Yup, it looks like it's them damned cookies, i'm using IE 9 (9.0.8112.16421), i enabled the cookies, then deleted them , and i could mark forums read only once, tried to do again, and the same problem.
One thing , i can mark forums read in the forums (like social club for example), but in the main forum page it appears that error.
EDIT2: I did the same thing, enable and delete cookies, and it appears all is solved, need to make some tests before bothering you again :\
Thanks for the tip nilcam.