Expand the latest message in thread that is in selected folder/label not the latest message in all the thread that can be in another folder
When you choose a line in the list of the messages that are in subfolder, you get ALL messages in this thread and the expanded message is the latest in the thread while it can be in another subfolder/label (or stay in inbox not sorted).
So, when you expect to see the same message you select in the list, you get quite different one in some other folder (maybe it's newer and has some fresh info but you clicked on subfolder/label so its logical you did it for a reason: you were looking for some message in this subfolder).
It should be logical that you see the message in this subfolder first expanded and get focus on the latest message in this subfolder while all the earlier/later messages shall be collapsed (in Mac Mail the preview panel is just scrolled to the position to see right message) - see the screenshots. It maybe another option but I think just expanding the right message should be enough.