Still, when forums always are marked as unread and threads as read for guests it's an issue that's needs adressing. In xenforo's default style it's not very noticeable at first glance, but if you have a style that makes extensive use of the read/unread indicator, you have a problem. Afaik, even old forums like mybb have a working read/unread indicator for guests.
Edit: How is it "As Designed" when you make your forum mislead guests?
Any forum with posts uses the unread styling to draw attention to it. As you say, in the standard style, this is subtle so that design decision was made. However, marking every thread/post as new was not deemed as being useful for a guest. There is no other read tracking done for guests as any cookie-based method ends up being incorrect more than correct.
If it's significant for your style, you could adjust the classes output for a guest or adjust the styling to only be applied to logged in users.