I also had this problem: emails that are unrelated started being grouped together in one huge conversation. Some emails also went missing.
I first tried rebuilding the mailbox and manually removing the indexes; no effect.
Then I tried the beta of Mail 8.2 (with the beta of Yosemite 10.10.2); no effect.
I then removed the mail account and added it again; no effect.
I noticed that the problem does not exist on the mail server (Exchange), because with its web access the conversations appear fine.
Also, using other clients (I tried Thunderbird), there is no problem with these mails.
So then I created a new user on my mac and added the account to mail - completely fresh; hurray, problem solved.
I thus concluded that it would be a caching problem. I went back to my normal user account, removed the mail account and then deleted the mail cache (I moved ~/Library/Containers/com.apple.mail to another folder). Then I added the mail account again, the cache got recreated and all is now fine.
Of course this is still a bug and I reported the problem through the feedback assistent of the Yosemite beta. But anyway, removing the cache did work for me, it seems.