XF was the first forum software that I ever used that took me directly to the first unread post simply by clicking the click. I was used to having to click a separate "Go to first unread post" button similar to that dot. My members were a little confused after we switched from vB as their behavior is for the thread link to go to the first post. So I could see it being something that prevents some confusion for your members.
That's odd - I thought when the link was bold on vB it took you to the first unread post too!
That's prob why XF has it then, to help people coming over from other forum software.
I have removed it now - as it's not needed because of the bold link going to the same place (tho the reason I queried it was because the links were different for a new thread - though they still end up at the same place).