To be able to mark a message "unread" in AOL Webmail, you must be in 'Unified Inbox'.
To switch to this inbox view, go to 'options', 'mail settings', scroll down and check the box next to 'Unified...'.
If you do not want to change your inbox view, open the message and use 'Ctrl-Alt-U'.
You must be within the opened message for this to work.