Apple’s Mail.app allows threading and sorting independently. Threading is a grouping feature where the most recent message is used for sorting parameters (at least with respect to dates, and sender, I believe). If messages are sorted by flag (star) and threading mode is enabled, then if any of the thread’s messages is flagged, the thread is treated as flagged. It’s actually really, really useful.
In other words (at least as best I can tell), threading is used to group messages and then sorting applies to the group as if it were a single pseudo-message (with varying behaviors regarding what comprises that pseudo-message from its members)