From the OpenAI cookbook on fine-tune chat model:
During the training process this conversation will be split, with the final entry being the
completionthat the model will produce, and the remainder of themessagesacting as the prompt. Consider this when building your training examples - if your model will act on multi-turn conversations, then please provide representative examples so it doesn’t perform poorly when the conversation starts to expand.
(and again an example where just the prompt gives the desired results)