Jeremy, it used to work that way, or the page number was in the middle of the URL, before the current improvements. But, along with Bill's comment, if you want to save yourself the trouble of typing "?page=" you can skip to any arbitrary page, it will come up, and then change the number.
I have a lot of trouble with the new setup on this. i get stuck a lot in the middle pages of posts and quit out of the whole thing out of frustration because the "first" and "last" notes don't work as links.
Oh well....