Mail.app rule works only partially
I have the same issue. After being moved to another folder the message is marked as Unread for some reasons. And I don't have any server rules that might do that (I don't have any server rules as a matter of fact).

I'm 99% sure, that you experience such issue with an Exchange account, because mine are Exchange-related as well. I tested the same rule with non-Exchange account and everything works as it should, all the actions apply correctly.

You can hardly call this an answer. But at least that's an explanation of such behavior. I wanted to write it as a comment, but I don't have enough reputation.