In order for threading to work in email clients, the Message-ID header needs to be set on the initial email, with following emails having In-Reply-To / References set to that same Message-ID.
While this works properly for Maniphest, in the case of Differential the first message sent by Phabricator oddly doesn't do this properly. Instead, the first mail looks like a reply (having In-Reply-To / References headers, etc).
I've taken a look through the Phabricator source code and can't see anything immediately wrong or which would explain this behaviour. My suspicion is that reviews already exist prior to them being confirmed and the first mail being sent. This was working properly back in May, and had broken by June in case that helps with debugging.
An example message showing this is attached.