well, right now, whenever that happens to me, instead of clicking the board link I copy it to the address bar and add, at the end, something like &bms=50 (or whatever number I want it to start at).
Interestingly enough, when I later click the link to go to the first page of the board, the messages still appear marked as unread :)

But I'd like to be able to click the red number ando go to the last message automatically just like you...