Apparently my Google-fu is off today or nobody used this feature other than me. Apple mail had a feature that would highlight messages from the same sender with the same or similar subject lines which made it very easy to round up emails from my network monitoring system. After upgrading to El Capitan this feature has gone away. I am wondering if anyone knows of a fix to get it back or was it an error in previous versions that just got fixed. My mail settings are the same as they have been. I have included a screen shot below.
Apparently there was an option to "Include related messages" that I was simply overlooking. Sorry for the bother.
Have you tried to set up a new rule?
Go to Mail > Preferences > Rule > Add Rule.
Then you can set the condition you want (i.e. subject content or sender identity) and finally perform an action, such as set a particular color for that message. Press OK and the rule will be applied to all your old emails (and still remains valid for all upcoming ones).