Folder path visible in thread

I group my mails per subject in subfolders. When a new mail that is making part of a thread comes in into my inbox it shows the related threaded mails in the inbox as well, this is very handy. However sometimes in the subject field it shows the path where the rest of the thread is stored (very, very handy!) but most of the time it does not. I cannot find a setting nor the logic where you can define that the path should be shown or not.
I would like to have the path shown all the time with all threads shown.
Can sb. give me an answer how this mechanism works and/or if there is a setting for this?

Thanks!