why? I guess for trash (and maybe drafts) we should not display mails that are not part of the folder.
the only problem we might run into is when someone wants to archive a folder and and assumes all mails are there but they are not.
or am I missing something?

Because that's not how threading works. The point was/is explicitly to show threads across folders (e.g. including drafts and sent), and threading generally ignores folders right now.
The obvious cases of draft/sent/trash we're already dealing with otherwise, so I guess this becomes a low priority item. I still think it would be generally useful to indicate where a mail was found in the non-obvious case (it's not in the folder you just looked into).

This will also become more relevant once we move more away from purely folder based, and more search based views.