Right, so I've had a similar problem and hence encountered this thread by trying to research some help.
I could see view only the latest email, which then contains all conversation history. MASSIVE pain, since the attachment was sent a few emails ago. The paperclip still showed by the contact name of the email, but no attachments were embedded within the conversation history and I had lost the important attachment that I needed to work with today.
In the end, I found this worked -
Selected the email (with all embedded convo history)
View > Organise by conversation
View > Expand all conversations
This then showed the individual emails and, although it doesnt actually show the attached mp3 file in the email where it had been embedded in the text by the contact, the email header showed the attachment existed and allowed me to save it.
HOWEVER, the saved file wouldn't actually open in iTunes - so I've had to use the Quick Look by the saving options to actually listen to it, and have no way of saving it.
This really needs to be sorted out, it's a pain in the ***..
Hope this kind of helps someone out one day, I was going crazy with this problem.
Ciao!