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It's not a contradiction, but redundant insomuch as there can only be one penultimate thing and it is always the final (and first) of its kind.

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There can be multiple penultimate things. If you have two quest chains, each one will have a penultimate and an ultimate quest.

But I thought that penultimate meant next to the last, not the last (i.e., final).

That's correct, but it's not a contradiction to say "the final penultimate" thing for the reason that it's not a contradiction to say "the final last" thing. Just redundant.

Though the sibling has a point that there may actually be multiple penultimate things if there isn't a strict ordering between them.

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