Just for clarification, you used to be able to change your thread display to a threaded view, but it's no longer in the drop down option.
Found under the UserCP, Edit Options, almost at the bottom of the page: (the help page even shows it)
Thread Display ModeHere you can choose the display mode for threads. For a full explanation of the modes, please view this help page.
Linear - Oldest First Linear - Newest First Thread Display Mode: