Actually since the tabs are ordered alphabetically, the new tileset will not generally be last in the list. But I do agree that when you add a new tileset, its tab should get selected.
Of course, it’s a matter of getting around to it. For Tiled 1.2 I’m trying to focus on things that improve the usability, so this improvement would fit in nicely.
Apart from bringing it to my attention, you can help getting it implemented by either working on it yourself (as free software, Tiled’s source code is available) or by supporting my work as a patron (even $1/month helps me cover the cost of living while spending time developing Tiled).