It does this by taking you to the correct # anchor in the page, but if the messages are short it can't scroll down far enough to get the most recent reply at the top of the window, because there isn't enough content below it.
Some sort of highlighting of the first unread post might be useful.
It should do this.
If it's not... go to the home page, hit "Mark Everything Read", and it sure as hell should start doing this.