Settings has a checkbox for "use conversations in Sent and Drafts folders". It is one checkbox for both folders; it should be two separate checkboxes.

Conversations in Draft folders gets very confusing to figure out which message in the thread is your (unsent) draft, especially if it should happen that the conversation proceeds forward (ie, more people start sending more emails to you) before you have managed to get back to your draft and finish and send it. Finding where your draft message went in the display is difficult. So for Drafts, far better to be able to disable conversations.

On the other hand, in the Sent folder it is very useful to have conversations enabled (while leaving the Drafts conversations disabled) ... because messages you've sent, well, you've already finished them, and so they are not officially part of the conversation.