This is one of my biggest frustrations with Mecanim. If you place an animation event on the last frame of an animation it seems as though there is no guarantee that it will be called. I have set the Exit time to 1 and the transition duration to 0 in order to mitigate the issue of the transition interfering with the event but I still have the issue.
I have attached a screen shot of the animation with the event and the transition info. If anyone can tell me what I am doing wrong it would be much appreciated.