The maximum of conversations that can be shown in Gmail page in a web browser in desktop mode is 100. According to your screenshot, your account is set to show 50 conversations by page. To change the page size go to Settings > General. The setting name is Maximum page size.
Regarding deleting the last message in the page and not showing the next message, you might click the Gmail button to load new messages, refresh the browswer tab or navigate to the next page. If you want that this work in a different without using an browser automation tool, then you should submit your feedback directly to Google. To do this, click the help button (the icon is a circle with a question mark inside, near to the top right), then Send feedback to Google, fill the form and submit it.
Regarding your own answer mentioning that the Gmail App (for Android or iOS) doesn't have this problem, it's just an "illusion", very old conversations are downloaded as the user scroll down, they might be purged automatically.
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