Versuchen Sie es mit:
SELECT t1.*
FROM `messages` AS t1
JOIN (
SELECT to_user, MAX(created) AS created
FROM `messages`
WHERE from_user=241
GROUP BY to_user
) AS t2 ON t1.to_user = t2.to_user AND t1.created = t2.created
WHERE from_user=241
ORDER BY t1.created DESC