Selecting a id from a pivot table
We can find with subquery each conversation_id for user_id from table conversations_users and use left join for get one reply for each conversation_id from conversation_reply table (see sqlfiddle example and code below)

select cp1.* from conversations_reply cp1 
left join conversations_reply cp2 
  on (cp1.conversation_id = cp2.conversation_id AND cp1.id &lt; cp2.id)
where cp2.id is NULL and
  cp1.conversation_id in (
    select conversation_id from conversations_users where user_id = 4
  ) 
order by cp1.id desc limit 10;


Output will be

+---+-------+--------+---------------+
|id |user_id|body    |conversation_id|
+---+-------+--------+---------------+
|9  |      4| message|              4|
|8  |      4| message|              3|
|7  |      1| message|              1|
|6  |      4| message|              2|
+---+-------+--------+---------------+