Apple Mail for macOS lets you sort your messages in mailboxes according to your preference. But you might have become confused after choosing to sort your most recent messages at the top to find that they are not in the order. The reason is that Apple uses nearly the same language in two places in the Mail interface, which serves different purposes.
In Mail > Settings > Viewing, you will see the “Show most recent message at the top” checkbox. However, if you’re just scanning for this option, you might have missed (as at least one Macworld reader did) the “View conversations” label above this section. Apple seems to use the terms “conversations” and “threads” interchangeably between macOS and iOS/iPadOS, as it means the same thing: a series of email messages that are among the same people, typically with the same subject line. (You can control this behavior somewhat by checking or unchecking “Include related messages” in the same section.)
Read more at Macworld.com