I noticed this too, it's probably a space saver thing or something.
Looks fine to me. Are you using hybrid or threaded view?
On a side note, I really need to install the user impersonation module when I get to shore so I can suss out user specific problems like this.
First of all, they're threaded fine when viewing the post, it's just that if you have the message list display option set to "All messages in a topic, threaded", then old ones don't show up threaded in the message list. In this case, "old" appears to be any that you have already looked at at least once. I assume this is designed to compact things, since otherwise sticky messages could easily take up an inordinate amount of space in the message list.