Because that's not what "conversation" means in messaging apps. As I said above, it is IMO a misleading name.
I don't know of any app that does what you want. The thing is, the "conversation" isn't really a distinct entity in the message database, rather it's just how the app groups and displays messages. Almost all group them according to the recipients (which is what's called a "conversation"), a few used to allow you to group them into an "inbox" and "outbox" (so no sorting by recipients, just messages received and messages sent). I suspect that to do what you want you'd need an additional field in the message database to indicate that this particular group of messages were to be shown separate from other messages with the same person. With email the "subject" line serves this purpose, but most SMS don't have a "subject". Some SMS clients do offer that though (my phone's built-in app and Chomp both have an "add subject" option in the compose dialogue if you press the 3-dot button), so I suppose you could try adding that and seeing whether an SMS with a subject changes the way it's grouped? Since that is an additional field in the message database it would be possible to write a message client that used it to separate particular threads, but whether anyone has done so I don't know.