I found that upon receiving several emails in quick succession from the same sender then gmail would make a thread of it (conversation). When I tried to save them all in one go to transfer them I found I couldn't do it in the e-mail context. Instead I had to open each individual mail in the conversation and select the browser's Save Page As. Yes I could have cut and paste them too but as I can read e-mail headers and >, >>, >>>, etc conversation delimiters, like many others here I would prefer to be able to handle email in the old format too.
I suspect gmail is using its own propriety mailstore which has no concept or relation to the >, >>, >>>, etc delimiters of old - which put simply translates to only being able to deal with individual messages as a database transaction rather than a progressive mail thread.