I've done it too, most often when I'm using a phone or ipad.
Same here. It's directly below the "Personal Messages" button, and since I have atrociously stubby digits, I will often often hit "Mark All Messages as Read" when I actually intend to check my PM inbox (not that I get sent oh-so-many new PMs or anything; it's just that there are a number of oldies-but-goodies in there that I occasionally like to reread). Perhaps the lesson here for me is to not check PEEL on a mobile device...or to do some finger-slimming exercises.
Like, I guess it's not a big deal if you can remember the last time you checked PEEL and just go by the time stamps on every thread when trying to catch up with what you missed--but I still agree that it's kind of inconvenient, and that a warning pop-up would be useful.