Console to return last processed message

[gziz]

Why are these changes needed?

Console can be modified to return the last processed message instead of just printing it, which would be useful.

Related issue number

#4277

Checks

• [ ] I've included any doc changes needed for https://microsoft.github.io/autogen/. See https://microsoft.github.io/autogen/docs/Contribute#documentation to build and test documentation locally.
• [ ] I've added tests (if relevant) corresponding to the changes introduced in this PR.
• [x] I've made sure all auto checks have passed.