Well, the way it usually goes is that I go into the app by touching the Gmail icon on my Homescreen. That takes me to the app and of course opens the first message and that is the first thing I see. I would hit the back arrow to go back to the conversation list, and back again to exit the app. So, the last thing I see before leaving the app is the conversation list. If I then go back in, it will do the same thing and open the first message.
As for the "Auto-advance" setting, I have it set to "Conversation list".
And I cannot hit "Go to inbox" before getting out of the app because it opens the first message, I then hit Menu, select Go to inbox, and if I select the back arrow it just takes me back to the message. I suppose I could just hit the Home key, but I just don't believe that is the way it is supposed to work.