When participating in a PM/Conversation, I find that clicking on the conversation will take me to the latest page of the conversation (if pagination has occurred) but will not snap to the latest reply. I would expect the latter behavior. This occurs on mobile (iOS) and on desktop (OS X).
In the early days of TMC Xenforo, I was pretty sure it used to take you to the most recent (unread) convo message. But then it stopped.