What you are describing is the intended behavior. Messages are not marked read after quick reply from the notification because the Android System assumes you want to keep those messages visible/threaded in quick replies.
If you don't want to fully open the messaging app and want to quickly reply to messages while marking them read after each one, bubbles are the intended feature to accomplish the behavior you want.
You could just tap the bubble to open the app and reply. This accomplishes both the replying to the message, marking it read, and eliminating the notification with one click instead of the extraordinary difficulty and inconvenience of multiple clicks. Sometimes you don't need to reply to something or you need/want to make a more detailed response later, and just want to acknowledge to the sender that something has been read.
