I apologize if I am missing a setting somewhere, and I couldn't find a post covering this specific topic, but if I have threads enabled and collapsed, it does not indicate when a new message is received to that thread. Currently, with threads disabled, new messages (when sorted by date) are at the top and in bold. If the thread is collapsed, and a new message is received, the only way to know is to expand that thread and go to the end of the thread. I would think that even with threads collapsed, if a new message for that thread is received, it should move the entire conversation to the top of the list and mark the conversation in bold indicating that there is a new/unread message.
I HATE threaded conversations. Makes your inbox extremely difficult to manage. Threaded conversation should not be the default setting. Default should be unthreaded and if someone wants to turn that crappy feature on, ok. DON'T force it on everyone!