It would be nice to have Conversations turned on but the only messages you see are ones still in your inbox and only from others. Not ones you sent it have already archived. Apple mail has this option.
Gustavo Pazelli commented
At the very least it should always display the email from others by default. I dislike clicking on a conversation and seeing my reply first and then having to click the other email to show it. Show me the other email!
Ryan Greve commented