In Search mode, in the empty space right under the date, there should be an attachment counter per thread. For example the attachment icon followed by "x4" would mean that the thread contains 4 emails with attachments.
Today I was looking for an email to a collaborator, with whom I exchange conversation threads on a weekly basis for nearly 4 years. I was supposed to find that thread when we exchanged back and forth over 100 design references.... but how can I spot it among the other hundreds of conversation, if the Subject is "Design reference" in at least 10 other conversations, but only one has over 100 attachments?