I asked them about this on Twitter, they did have a rationale that "We do want to be careful that folks don't miss threaded replies if they're looking at All Threads and then replies come through and they click into another channel, which is why that exists now."

They did say they were looking to tackle it but this was around a year ago :/

https://twitter.com/tomduncalf/status/1134141543626018816

It mainly frustrates me because I think the rest of Slack is great!