issues with gmail IMAP and Apple Mail (curvy reply arrows)

I am using Apple Mail 4.4 on OS 10.6.6 as a client to access my google account through IMAP. I have set up several mailboxes (they appear online as labels) to organize my incoming emails. They appear in Apple Mail as folders under the GMAIL heading that has a black-and-silver sphere as its icon when you set them up.

In my Apple Mail inbox, emails to which I have replied are marked with the curvy arrow under the status column; the curved arrow can be clicked to bring up my reply. When I drag messages into the other mailbox folders, the curvy arrow indicator mark disappears. (Online, I am still able to see the whole thread of responses in gmail.)

How do I avoid losing this useful curvy arrow mark? Without it it is difficult to tell which emails I have responded to.

Thanks!