Gmail has a issue where conversation labels are not applied to new messages that arrive in the conversation thread. issue details here
We found a Google Apps Script
This will find individual messages that do not have a label and apply the label of the associated thread. It takes much less time because it's not relabeling every single message.
function label_unlabeled_messages() {
var unlabeled = GmailApp.search("has:nouserlabels -label:inbox -label:sent -label:chats -label:draft -label:spam -label:trash");
for (var i = 0; i < unlabeled.length; i++) {
Logger.log("thread: " + i + " " + unlabeled[i].getFirstMessageSubject());
labels = unlabeled[i].getLabels();
for (var j = 0; j < labels.length; j++) {
Logger.log("labels: " + i + " " + labels[j].getName());
labels[j].addToThread(unlabeled[i]);
}
}
}