Hopefully I can word this to make sense...
In my user settings, I have it to where new posts in a thread are at the top, not the bottom. That is, on a 15-page thread, the newest posts are at the top of page 1, and the OP is at the bottom of page 15. I use the yellow [new] flags to see where it is I need to pick up reading the conversation since last time: I scroll down until I stop seeing yellow [new] flags, then I start reading upwards back towards the top of the page. This is very convenient because, if a thread has only had a few replies since I last visited, then I never have to leave page 1; furthermore, if there have only been one or two replies, then I might not even need to scroll down at all.
My issue arises if the thread is so hot that more than one page of replies has been added since I last visited. Page 1 will then be full of [new] flags but, when I click to page 2, there are never any [new] flags—even if there should be. Therefore, I can't tell where I left the conversation.
To be even more concise: with the settings of arranging newer posts to the top of a thread rather than the bottom, no [new] flags ever appear on any page except page 1.