I'm using Gmail via IMAP in Mail.app in OS X. I've set up a number of labels in Gmail, and file incoming messages into the corresponding 'folders' in Mail.app, either automatically using Gmail's filters, or manually using Mail Act-On rules I have set up.
When I view my labels in the Gmail web interface, I can see complete conversations. For example, if I add a label to an incoming message, and then reply to that message, I can see both the original and the reply when I view the conversation in the label's message list.
However, in Mail.app the reply is not visible in the corresponding mailbox: only the incoming message is there. I can obviously copy my message from the Sent folder to the label's folder, but remembering to do that by hand is a pain. I know I can always view complete conversations in All Mail, but they're much easier to find in the label folders.
This question is similar to an older one on this site.