FWIW: I entirely agree with Catspaw that people should read the thread before posting. Hovewever, that's an argument for not having the split threads feature at all.
My belief (I may be wrong) is that the majority of people who use the split threads feature do so because they have been following the thread and don't want to wait for the whole thing to load before they can see the latest message - in otherwords, like me, they go straight to the last page as soon as the link is offered.
It's worth pointing out that if the majority of users do in fact do this, the current default is wasteful of host bandwidth and CPU power because of the time wasted sending the first page when the user isn't going to read it. Having a tiny page with just the links, or NicoleC's suggestion of offering the pages from the threads list would help with that.
If you want to read the first page (first), you might as well load the full thread anyway. You can start reading the early messages before the others have finished loading.
Somebody mentioned overlap between pages: this wouldn't be a bad idea, maybe with the overlapped messages marked in some way so it's clear what they are.
I don't advocate the option of displaying the message in reverse order - that's far too confusing for me and I'd never use it.