What do you have that setting set to?
Quote:
Number of Pages Visible in Page Navigator
On thread and forum pages, as well as private messaging lists and other places, if there are multiple page number links to be displayed, this setting determines how many are shown on either side of the page currently being viewed. Setting this to 0 will cause all page links to be displayed.
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If you have that set to 4, then a two page thread will never show Last Page, it will just show (1,2).