How Threaded Messages Work on Your iPhone
When you organize messages by a thread, the related messages show up as a single entry in the mailbox, with a number next to the right-pointing arrow in the entry indicating how many underlying messages are represented by the thread.
So the number 6 next to Robert’s message (left) shows that six messages constitute this particular thread; when you tap that listing, the six threaded messages appear, as shown on the right.
You have to turn on threading in Settings. From the Home screen, tap Settings→Mail, Contacts, Calendars→Organize by Thread.
Finally, tap the button so that it reads On. You may have to scroll down to see the Organize by Thread setting.