demo, MySQL - rextester

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#MySQL 5.7.12
#please drop objects you've created at the end of the script 
#or check for their existance before creating
#'\\' is a delimiter

DROP TABLE IF EXISTS messages;
CREATE TABLE messages (id int, sender_id int, recipient_id int, message_text varchar(255), created_at datetime);
INSERT INTO messages (id, sender_id, recipient_id, message_text, created_at)
VALUES
    (1, 2,  10, 'test1', '2017-04-10 09:05:45'),
    (2, 10, 2,  'test2', '2017-04-10 09:05:47'),
    (3, 2,  4,  'test3', '2017-04-10 09:05:49'),
    (4, 10, 4,  'test4', '2017-04-10 09:05:51'),
    (5, 4,  2,  'test5', '2017-04-10 09:05:53'),
    (6, 2,  10, 'test6', '2017-04-10 09:05:58');

SELECT m1.*
FROM messages m1
INNER JOIN
(
    SELECT LEAST(sender_id, recipient_id)    AS first,
           GREATEST(sender_id, recipient_id) AS second,
           MAX(created_at) AS recent_date
    FROM messages
    WHERE sender_id = 2 OR recipient_id = 2
    GROUP BY LEAST(sender_id, recipient_id),
             GREATEST(sender_id, recipient_id)
) m2
    ON LEAST(m1.sender_id, m1.recipient_id)    = m2.first AND
       GREATEST(m1.sender_id, m1.recipient_id) = m2.second AND
       m1.created_at = m2.recent_date;


absolute service time: 0,48 sec