There's the problem I have with conversations and labels (though I love both)... We tend to use conversation view, and it's the default, but labels are applied to individual messages. So, with the view on, we see the whole thing under the label, but with the view off, the individuals only show where they are labeled.
The only fix I know of, and use, is to unlabel/relabel the conversation when a new message arrives. It will then put the label on all the individual messages. You don't have to do this message by message, but the only way I do it is conversation by conversation.
I never turn off conversation view, but I run label specific searches, which is impacted by this quirk as well.