Uhhhh... what do you expect he followed content filter to do... filter out already read ones and only do "new" ones? To me, if you want to filter based upon your followed content, then you see all of it... and most likely with any unread listed at the top and highlighted unless the style is so fubar'ed that it doesn't distinguish new links from already viewed by highlight.
As for unread... yep, they are going to show ANY unread content in all areas of the site.
And from what see, you can't "combine" those two filters... you select one or the other. Even if you use any "template magic" the default behavior will occur until you extend XF via an add-on.
I'm sure if you want a more detailed filtering based upon new posts but only in areas that the user is following, a bespoke add-on can be coded to do such.
As for "have you tried it"... yep.
Unread posts on the site... even in areas I really don't care about.
And now my watched/followed content - again, topics that I have already read, but are still followed by me.
Unless I'm missing my point... it appears what YOU want is only unread followed topics... and that isn't a "default" ability... as I said, AFAIK it will require an add-on.