I think the reason it does this is so that it will have the thread shown as being read by you, otherwise it will show that you still need to read the thread. It's weird. You do not, however, have to constantly click the back button to go back to where you want. At the top of the thread there are links that will point you to the board(s) you want to go to.
An example of this is at the top of the thread you will see:
SheKnows Message Boards > Boards > Pregnancy & Baby -
Baby Dust > Community Administration > Site
Announcements/Feedback
Clicking any of these links will take you to that particular part of the boards.