Catch Up will mark all messages that have not had the headers downloaded,
set as though they had been downloaded and will not be downloaded.
If there were possibly messages you wanted to download and read, don't use
catch up as you'll have to reset the newsgroup and re-read all headers to
get them back.
Mark all read will mark all messages selected as read. In the case of
exiting a newsgroup and having it mark all unread messages as read, it's
pretty well self explanatory.
Mark all read will of course allow you to go back and re-read or read
messages as the headers are still on your computer.