I see your point, but that would be programmed into the forum software and is probably like that so that other functions controlling the PM's can work. For instance it may only execute the code to send the PM upon reaching the inbox page, or it may only start "tracking" the PM when you hit your inbox. (No doubt there is some reason for returning you back to your inbox - not that I know what it is i'm afraid...)
Anyway, as I said, its definitely within the forum software, so its not something we can change.
But you could just use your back button to navigate back to the page you were on previous
