Emails can be split into new conversations in some circumstances. The most common reason for this is if a team member is removed from an unshared email conversation.
When this happens, the email is split and sent as a new email conversation. This is to ensure the removed team member cannot access an email that may be intended to be private.
A message will display to inform you that this is happening.
The original email conversation will then provide a message and link to the new email conversation.