我不知道你是怎么定义“最新的”—— updated_at ? created_at ? 或者 id ?
总之，一种方法是关联子查询：

select m.*
from messages m
where 1 in (m.receiver_id, m.sender_id) and
      m.updated_at = (select max(m2.updated_at)
                      from messages m2
                      where (m2.receiver_id, m2.sender_id) in ((m.receiver_id, m.sender_id), (m.sender_id, m.receiver_id))
                     );