https://www.wowhead.com/news=311963/shadowlands-alpha-unread-mail-now-displayed-in-the-character-selection-screen
This was supposed to have been added in Pre-Patch and I’ve never once seen it happen, however some people have told me they have seen it on their accounts only a few times. It’s clearly not working correctly, I have mail on most of my characters that I haven’t touched and no icon to be seen on the character select screen.