Useless side conversations that spun off from the original email. Or even worse, when gmail smashes a message in there that doesn't belong in the thread at all.
Someone emails sensitive material that you don't want persisted (e.g a password) in your account. Yes it may keep being persisted somewhere else due to the nature of email but hey, it very much depends on your threat model, you don't control what the sender decides to send anyway, and you can do a best effort for it not to become a liability on you.
Sometimes mail bounces. I liked to delete those messages off the thread.
I find that using Gmail with mailing more than X people is impossible because the replies all get mushed together. I now change the subject line for individual replies so I don't get lost.
Here is my Gmail on Android workflow: I swipe to right and archive the thread after I read the thread. It goes away from my inbox. Once someone adds a new mail to the chain thread re appears in my mailbox. I read it and archive it again. I rarely delete a mail.