Saved search won't allow threaded view

I have a saved search that looks in all folders for a single topic. When I perform the search, it displays the list of messages, but they are not threaded. If I choose View > Threads > All, it clears the entire list of messages and I'm left with an empty list. If I then switch to another folder or saved search and then click back on my original saved search, the list reappears -- again without threads.

Is it possible to show the list threaded when a search is over multiple folders? My other saved searches (which only search one folder) do show threads properly. If I change this search to be only searching my Archive folder, then it will show threads. But as soon as I add another folder (Inbox) to the search, I can no longer see a threaded view.