If 'they' tell Anonymous to go to Julielai, and Anonymous then goes to you, wouldn't Anonymous saying, "They suggested I go to you," be more appropriate than, "They suggested I come to you"? If, on the other hand you suggested to someone that Anonymous ought to come to you, then when Anonymous arrives, Anonymous should say, "I heard that I should
You certainly have a point there. I guess the question is: which point of reference are we using? The perspective of "they", or the perspective of the speaker (who is already talking to the person in question)?
My logic was like this: if I am on my way to see that person, then I'll probably say, "they suggested I go to xyz." Once I arrive, then I'll say, "they suggested I come to you."
Sometimes the learners are focused on a particular point. They may slip on some other point of grammar while asking the question, but that doesn't mean they can't understand an explanation of the particular point they asked about. For example, I'm personally capable of reading and understanding very complex explanations in French, but I'm quite likely to make some spelling or grammar mistak