I just tried in 4.0.2 and it didn't do what you describe. Must be something wonk with 4.1 or your phone (though the next post after yours reports the same behavior as you).
Messages app always starts like it's opening the list of conversations, but then snaps to the last conversation you were viewing. It looks bad in my opinion.
I think the startup screen for messages should be exactly what it looked like when you closed messages, but that creates a problem for when you want to reply to a new message. It would look really weird to start up from where you last were, to the new message.
Does that make sense? That's what he means. And yes, it was like that in 4.0.2 as well. Hope this helps.