I don't understand this - your original messages, before you edited it, said "Thread #...", and it looked properly formatted. Why was no hyperlink created?
It was strange, that's why I edit it, I was checking why it doesn't create an hyperlink, maybe the engine is checking if the message is the initial Message of the Thread then it can be (or should be) hiperlinked.
Another test:

Thread #829952 <--- It isn't the initial Thread
Thread #829932 <--- Initial Message of the thread.
Message #829952 <--- That's how I should send the reference.