I use conversation view all the time and am very used to the Windows version of Outlook.  With Windows I was able to see messages from all folders including Sent Items.  In the Mac version, you can only see messages from the Inbox and its subfolders.  I know you can click on the funny arrow/bubble icon in the preview pane, but that does not solve the problem.  In that view you can only see individual messages by opening yet another windows.