You don't need to use the official Mastodon apps, they're not the best way to use Mastodon. The official apps only arrived last year, and they were intended as "Fisher Price My First Mastodon" things with a restricted set of features.
Third party apps have been around longer than official ones, and include way more features. You can sign in with the same account on all apps.
On Android try Tusky, Fedilab, Megalodon, Tooot
On iPhone/iPad, try Toot!, Ice Cubes, Ivory, Mona
@feditips Android app got substantial update recently, though. https://blog.joinmastodon.org/2023/07/mastodon-for-android-update/
True, but still some way to catch up. No hashtag following for example :/
The official web UI's pre-release has them but it hasn't gone to release yet. Some servers use pre-release version of Mastodon, so that may be why you see these threads.
Third party apps can choose how they display threads themselves, for example Toot! for iOS has had London Underground style thread maps for many years now.