It doesn't know where your first unread post is from before the import. Are these threads that you've viewed since we were on Xenforo? If you haven't viewed it since vBulletin it won't know where to take you. You can just mark everything as read and start over on this software and it should work 100% of the time.
Not only does it not always take me to the first unread post, very often it marks as unread, posts that I had already read, i.e. it shows them as "New". Hmm.