It looks like a bug in the forum software to me. The link has a #new at the end but there is no name of new anywhere in the page.
A possible solution is to change the theme you are using.
Change to "SMF Default Theme" this has a couple of nice features.
1) The "new" button seems to work.
2) You can select to "Show unread posts since last visit".
3) You can select "new replies to your posts".
On the down side it limits the visible width of your Avatar.
t.