I never thought I'd say this, but Outlook has a feature I like.

When it groups message threads, it puts all the messages in a thread together, even if those messages are split across multiple folders, by creating what's essentially a soft link to the message.

Is there a way to configure Kmail to do the same thing?

As far as I know, this is not possible at moment, without using "hacks" like using search folders to show specific mails.