Viewing unread messages
On the web app, you will see Mentions in your left sidebar or Unread. And in the top left, you will see if the message is in the DMs or Threads.
Click from Unreads or Mentions and it will take you directly to the unread message.
If the message is in one of then Channels, the name of the Channel will be bolded.
And you will need to click on the Channel name to view the message.
Android and iOS
On the mobile app, unread messages will be on the top. In case you are mentioned, the name of the Channel will be bolded.