This is theoretically possible, however it would not be something I'd rush to put on.
This is mostly because such a feature would add several database lookups every time you entered a forum, which would slow things down.
Unfortunately vBulletin doesn't have quite the same capabilities as WebBoard did when it comes to tracking new messages and such. vBulletin uses only your last visited time to determine whether posts are new or not. This makes it more difficult to implement the type of feature you're asking (not impossible though).
This greater power in tracking messages was actually one of the things that lead to much poorer performance with WebBoard... there was simply too much extra processing and database access required to view and work with the forum.
It's a tradeoff really... more powerful features versus faster performance.
I'll keep your suggestion in mind and if I come up with a nice way of doing it which won't impact performance much, I'll try implementing it.
I don't understand why you want this feature. When you open a forum you will see at the top of the list all the new posts differentiated with an arrow icon to the left of the thread title. So you know immediately which threads have new posts. Click the arrow icon to take you directly to the first new post even if it is on page 10. If there is more than one new post the other ones will be below the first new post. Since all the recent posts for that thread are at the end of the thread you don't have to re-read the entire thread over or laboriously turn page after page to get to the new posts at the end of the thread. Great feature!
PS You can also go immediately to the last post which is the most recent by clicking the arrow icon in the Last Post column.