SMS App with DIFFERENT conversation list style for unreplied threads.
You might want to take a look at GO SMS Pro. Unread messages have a NEW indicator at the top right corner of a conversation. Also, the contact name is usually bold (see screenshot below). You can also select other themes which may have different indicators. 

Caveat: There is no way to filter by UNREAD conversations. So, you still have to scroll through them. But the indicator should help a bit.