Etsy has recently changed the way messages work. They are bundling separate messages from the same account into one thread. If the new message shows up under an older message (different thread), Etsy may have bundled the two together because you marked the more recent one as spam and it no longer 'exists'.
This is probably the one thing that concerns me with marking messages as spam. The block is supposed to stop that (buyer) account from ever contacting you again. If a message comes outside the 'normal' thread from a buyer, and you mark it as spam, Etsy might put them altogether and stop that buyer from contacting you ... and it could be a repeat buyer.
