It would be nice to show the last move played in the game that get us to the puzzle position.

Technically this would be very difficult I'm afraid, we would have to alter the software.

As a lot of the positions are 'consecutive' (especially on the more difficult tactics) you will often be able to work out the last move played on the board anyway, although I can't really see any real advantage myself - the main point of these exercises is to build up your own 'database' of tactical patterns.