It's worth noting that I don't feel this way about Slack (mostly). It has a clear visual hierarchy of Servers > Channels/DMs > Messages [> Threads]. Discord has things linked every-which-way; someone will start a group call and it's somehow separate from the shared server you're on, living in a whole separate subtree of the interface.
Maybe the difference is that Discord accounts are cross-server? So you have conversations that live in a server, and conversations that live outside of any particular server?