It took me an embarrassingly long time to realize that it was a joke when people said "It's always the last place you look." Like well into my teens. But ever since I figured it out, I always look at least one more place after finding something.
I think that there are many people who don't recognize it as a joke and pass it on as great wisdom. I was also pretty old when I realized the tautology.
If you're disorganized, you'll search in random places until you find it. Joke applies.
But if you are organized, you'll start with the most likely place and progress to increasingly less likely places. When you find it, there's no surprise, and no one gets much of a chuckle over your efforts.
If you don't understand the problem space, then saying "That's the last place I would have looked!" is an expression of exasperation about your lack of knowledge.
A tautology can still provide an insight by recognizing that two things are really just the same. In that sense I didn’t perceive it as a joke, even though there’s of course some humor attached to it.