Hi Padraig,
I am not sure if this feature works for interaction record because the help.sap.com documentation mentions service ticket and order to be used for this.
Anyhow, we can try checking few configs:
Have you assigned the tracking text id in your email profile?
The Email threading is an std feature and thus should work if the set-up is correct.
Please refer the below link which lists out the steps to be done:
E-Mail Threading - E-Mail Response Management System - SAP Library
Also, remember Email threading works only if you are using ERMS for handling incoming Emails.
Hope this helps.
Regards,
Divya