With "On catchup show next feed" turned on, if you click "Mark as Read" you go to the next feed with unread articles below current one. However, tt-rss does not wrap around to the top of your feed list - so if there are no unread feeds between current one and end of the list nothing happens.
tt-rss should look through the list until the end and then from the top till current feed to make sure there are no unread feeds anywhere.
Currently, I end up clicking on the very first feed in the list (even if it's "read") and then clicking "Mark as Read" on it so that tt-rss finds next unread entry, starting from the top.