Poetguy,
Welcome to MacOSX.com!
I don't think you're missing anything. This is the way the Mac shows the dates. If it says Wednesday, then that would be last Wednesday. If you have an email from two Wednesdays ago, it will show a read date, not just the day. So, an email received yesterday will, as you noted, have a date of "yesterday". One from last Thursday will say "Thursday." One from two weeks ago will have a proper date.
Does that make sense?
Disclaimer: I haven't used Apple's Mail in months (I use Gmail's web app.) But before that I used it for several years. So, I'm sure you'll see dates on older emails. Let us know if you continue to have problems.
Doug