When I click on the “You have a new talk page message”, it takes me to the very last item on the list of messages. If this setting were enabled, it could take us to the last unread message. Sometimes I get messages one after another within moments and when some messages are harder to find when further down the list, I feel like I’m missing a message.(esp when I get a spammy post, but seconds later someone reverts, and so, I see no changes)-that makes me angry!
That message pops up when there has been an edit on your talk page (excluding your own edit). It would be difficult to implement this. If not difficult, I don’t think it is so important that the engineers need to implement this now. You can just archive or delete messages once you’ve read and responded to them, like Krystle does, which might make it easier for you.