First you must set the flag command option.  From Pine's main menu:

• Type s (Setup).
• Type c (Config).
• Move the cursor down to highlight the enable-flag-cmd option, and type x to enable it if it is not already.
• Type e to exit the configuration screen.
• Go to your INBOX (or desired folder), highlight the message you want to mark, and type * (Shift 8).
• Type n to mark the message as new (you will also see several other options printed at the bottom of the screen).