Verwendung:
SELECT a.id,
a.msg
FROM USERS_PM a
WHERE a.dialog_id = 1
AND 1 IN (a.uid, a.bid)
ORDER BY a.date DESC
LIMIT 1
...oder:
SELECT a.id,
a.msg
FROM USERS_PM a
JOIN (SELECT t.dialog_id,
MAX(t.date) AS max_date
FROM USERS_PM t
GROUP BY t.dialog_id) b ON b.dialog_id = a.dialog_id
AND b.max_date = a.date
WHERE a.dialog_id = 1
AND 1 IN (a.uid, a.bid)