Why aren't my messages threaded?
Like POP, IMAP treats messages individually and not as a threaded conversation. If you move a message to an IMAP folder in your mail client, only that message in the conversation will move to that folder. However, in the web interface, the whole conversation will be given the corresponding label. The same rules will apply to labels applied through filters.
Additionally, IMAP clients store a copy of a message for each label in which it appears. For example, if one particular message in Gmail's web interface has the labels, 'From Best Friends,' 'Classmates,' and 'Soccer,' then the same message will be stored four times in your mail client; three times for each label and once in the 'All Mail' folder. If the message is starred, it will be downloaded a fifth time in the 'Starred' folder.