Links to messages are just that, links to messages.
Links to pages.
If a message is a part of a thread, then when you click on the link, you will access that message, and it may look just like this message (part of a thread).
This particular message is also a part of a thread, a thread that you started.
At this time, we have 2 ways to view message threads.
You can view each message alone, or you can view up to 20 or up to 29 messages on a single page.
There are only those 2 possible views at this time, and there is no way of breaking larger threads into parts of threads.