The Blue dot indicates that you have an unread message that is less than 5 minutes old.
The amount of unread messages will also display on your browser tabs.
After 5 Minutes, the dots marking unread messages will turn from blue to red.
Conversations are automatically marked as read by clicking into them. Mark a conversation as unread by clicking the three dots to the top right of the Conversation Detail pane and select Mark as Unread.