We have this! Just click on the activity item and it will take you straight there.
If this is not happening for you, then its a bug. Please let me know!
How about a keyboard shortcut to search current conversations to get to that conversation instantly? If im working in Outlook and I need to jump to a conversation with someone. Click teams then the keyboard shortcut to search the conversation im looking for to jump straight to it.
This item remains on the backlog.