When sending an SMS to a number without choosing him/her from the contact list, when an answer sms is received the Conversation opens a new thread with the received number. I believe the problem is related to how SMS is configured at the GSM provider. Between the SMS prefix added from the GSM Network provider ( the international code ) and the SMS number i sent the message to. ( without the international code )
Conversation is not able to recognize them both. I believe adding the international code for the SMS or the region one is in can help solving this problem.