There are two boxes in your account settings.
One sets the default for whether you want to subscribe or not when coming to a thread for the first time.
The other allows you to unsubscribe from everything in one go at the point you are on that form, and is not a setting that saves any long term effect itself.
To un/subscribe to a thread, use the boxes on the reply forms or the blue subscription button at the top of the thread view page.