Well, they could just mark everything as read via the checkmark button, but I agree, for new users, if they even realize that it's an option, it isn't exactly an ideal one since it also marks everything else as read.
Mind, I'm not actually against removing the stickies, I actually think it'd be ideal to only have 1 sticky that in turn can link to other closed topics that cover things like the rules, and list of forum staff and how to get started with using the forums etc. It's just that ideally creating such a 'super topic' should exist first. But at the end of the day it doesn't really matter in which order it happens so long as it gets done I guess.
edit: additional thought, perhaps the welcome message on the forum front page can be made more use of too since it can include links.