Thank you again, Brogan!
I have mixed feeling. It is awkward to find out that a question was already asked half a year back. On the other hand, it doesn't please that for half a year this simple option hasn't been included in the distribution kit. It also forces to worry, as it is necessary to wait half a year or even more further? I have found out that another simple possibilities are not included for a long time too . Why??
This is an ImpEx problem. I have done many imports to vBulletin which resulted in the same problem of all PMs being unread. XenForo inherits this problem when you import via ImpEx but those queries fix it.