Perhaps it is a glitch affecting you. It’s not affecting everyone. I have had no anomalies in my stats. You can raise the issue with Etsy. No one here can help.
Was it a last message, as you say,
and NOT the last reply in the same thread?
I have not had the "last word" in a lot of threads, and none of them have counted against me.
If it is all the same thread, log a ticket with etsy, with screenshots of the proof
Did the buyer start a new thread for that last message? I was going back and forth with a buyer (who is also a seller) about some special requests he had. All of his messages came through on one thread, until his final one thanking me, which just happened to start a new thread. No idea how or why he started a new thread at that point, but I don't believe it was intentional, and he may not have even noticed.