This is probably gnus adding the Status: RO header to the message,
after determining that you have mail, and what it is. Or perhaps,
you're using a POP/IMAP server, and the daemon is doing that. Either
way, xfaces decides that such messages aren't "interesting", because
they've already been "read", and doesn't display them.
If you want to change this behaviour, you should be able to do it
by fiddling with the XFaces.ignoreMessageBindings resource.
Thanks for asking this question - this behaviour bugged me too, but
I haven't bothered looking for an answer before now. :-)
steve