Use zulip - https://zulipchat.com . Opensource. Designed for threaded context.
One problem is that if you are trying to catch up on conversions, instead of just being time based, it's thread+time based, so while you can see which threads added messages while you were gone, it's not easy to actually read through them all.
The other big problem I found was people inevitably "reply" by (accidentally) creating a new thread, which then splits the conversation. If you're participating in real-time and there's not many separate conversions happening this isn't a big deal: but that's opposite to the situation where threading is actually theoretically useful, and catching up on multiple split threads is the worst combination of everything.
Maybe this is only really a problem with Microsoft's implementation, but I'm curious what other people have experienced?