`user_dialogue`
id | name
1 | Первый диалог
2 | Второй диалог

`user_dialogue_members`
id | id_user | id_dialogue
1 | 1 | 1
2 | 5 | 1
3 | 1 | 2
4 | 15 | 2
...

`user_dialogue_messages`
id | id_user | message | id_dialogue 
1 | 1 | Привет, как дела ? | 1
2 | 5 | Нормально | 1
3 | 1 | Привет, привет | 2
...

SELECT *
FROM `user_dialogue_members` AS `members`
LEFT JOIN `user_dialogue_messages` AS `messages`
ON `members`.`id_dialogue` = `messages`.`id_dialogue`
WHERE `members`.`id_user` = :id_user
GROUP BY `messages`.`id_dialogue`
ORDER BY `messages`.`id` DESC

SELECT
 (SELECT `message` FROM `user_dialogue_messages` WHERE `id_dialogue` = `members`.`id_dialogue` ORDER BY `id` DESC LIMIT 1 ) AS `message`
FROM `user_dialogue_members` AS `members`                        
WHERE `members`.`id_user` = :id_user

SELECT `messages`.*
FROM `user_dialogue_messages` AS `messages`
LEFT JOIN `user_dialogue_members` AS `members`  
ON `messages`.`id_dialogue` = `members`.`id_dialogue`                       
WHERE `messages`.`id` IN (SELECT MAX(`id`) FROM `user_dialogue_messages` GROUP BY `id_dialogue`)
     && `members`.`id_user` = :id_user
ORDER BY `messages`.`id` DESC