I'm glad it's not just me. Threads are terrible and hide potentially important information.
Our slack channels have at most a dozen active members and my channel list has approximately a dozen channels with permutations of the same dozen people organized topically. I have turned off almost all notifications as they are so ridiculous and look at the sidebar once in a while to see which channels are active.
I consider slack content ephemeral, even if slack disagrees. If I want to track issues, I use an issue tracker. If I want a threaded conversation, I'd probably write an email still. If I want to find content, I search a wiki or an email archive.
My preference for threads is as appears in my old school mail client or my fading memories of the "trn" threaded news reader for usenet. Threads do not hide messages, they only reorder them into a hierarchical index. It is easy to move back up the index to skim prior content in the tree, but it is also trivial to press a key and jump to the next unread message sorted first by thread and next by message time (to break ties or decide which thread to visit next after exhausting one).
Recently I had the absurd situation of someone using threaded replies in a direct message channel. It was astounding to me that this person thought this was a good idea, and also that the slack UX could so completely obfuscate an attempt at communication...
My colleagues and I sometimes discuss far-ranging topics in temporal proximity. While in the heat of the chat I can keep replies straight in my head, it helps to have them grouped for later review; furthermore, they reduce the need for segues in and out of conversational contexts, which I find incredibly liberating.
Otherwise I think dedicated team interaction channels are the biggest of ours and we try and keep those pretty small still.