In Fate/Hollow Ataraxia, Arturia comes back thanks to Rin's and Ilya's experiment to make the Jewel Sword into a pendant to allow easier use of the 2nd Magic.
However in Unlimited Blade Works, Rin is Shirou's love interest so with the True Ending for Unlimited Blade Works where Saber does disappear at the destruction of the Grail, it can be assumed that Shirou loves Rin more and does not go to find Saber so -Last Episode- won't occur. You can see this has Shirou being able to stay with Saber. In the Good Ending of Unlimited Blade Works, we see that Rin is able to maintain Saber's Prana Supply but complains she finds it hard supplying her with energy without something like the Holy Grail. In Unlimited Blade Works, because Caster canceled the contract between Saber and Shirou, Rin is able to from a contract with Saber. It's not entirely certain how long it took Shirou to reach Avalon however, considering that Avalon transcends all magic including the 5 Magics it must have taken an eternity for Shirou to reach. Eventually Shirou reaches Avalon where Arturia is sleeping and the two finally reunite. What Merlin is referring to is Arturia waiting and Shirou pursuing. This is in two parts: a monologue of the Fate Route and a second part where Arturia is hearing from Merlin about a miracle achievable by two people, one who "wait endlessly" and one who "pursue endlessly", and eventually the pursuer will stop when they reach the waiter.
In the Visual Novel of Fate Stay/Night Realta Nua, once you have seen all five endings, a new ending appears accessible from the title screen called -Last Episode.