Well, I'm assuming that your gmail is defaulted to threaded conversations. Having said that though, this could be an instance of Google just not playing nicely with Microsoft. Google had recently made some changes on their backend which for a short while made it almost impossible to get your gmail on windows phone. That was very brief, several weeks ago now. There had been an e-mail from Microsoft about it at the time that there was some question about whether or not gmail would be further supported. Gmail had to be reinstalled on all Windows 8 systems, as well as being reinstalled on the windows phone handsets. I had to delete and recreate the account on my husbands phone to get his syncing again. Haven't paid any attention to whether or not it has not been threading messages since then. He hasn't complained about any issues though.
The fact that you are indicating that it is in your Gmail account where it not threaded and not on your Windows phone says to me that it is on Google's end where the issue is arising. So assuming that you have everything set the way that it should be I would have to say that you what you are likely dealing with is a Google-Microsoft issue where once again the consumers bear the brunt of the big guys trying to push each other around.