Not a bug! ;)
There was a recent bug fix that changed the way we are alerted to new messages.
If you have any unread messages in your inbox then it will stay lit up, so if you haven't been in the habit of marking those message as read it may be tough to clear it out. Unread messages are highlighted a light grey-ish color, clicking anywhere on the message should un-highlight the message and mark it read for you.
Here's how you can do it for a ton of messages quickly and easily:
First, an easy way:
Look in your inbox for this button if you see it, click it and you should be done! (note: if you are using RES with neverendingreddit you may need to disable it (briefly!) to see the button)
If you don't see that button, don't fear! It's only present for those inboxes with over a certain amount of messages. We can still clear them out pretty quick though:
Check this preference
then refresh your inbox a few times to mark them all read.
This should remove the perma-orangered.