I don't believe there is a setting for this.
When you open a multipage thread, read through it, close it, and find later on in the day that other users have commented on it- re-opening that thread will basically take you to where you left off by showing the new comments.
However, when you open a multipage thread, read through it all, close it, and reopen it later on when no new comments are on it, it will start you off at the beginning. That is the difference between the two scenarios you described. When there is nothing new to show you, it starts you off at the beginning. When in the thread, just click the page number to take you to where you left off.
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