Thank you for response.
My problem occurs, when composing a new mail.
Found a crazy and a bit complicated workaround:
- After having sent the mail, I find it in the sent-folder (btw: without enabling the option "copy in sent folder")
- Additionally I can find the mail in "All messages" folder
- Now I move the mail from "All messages" to custom folder, e.g "work".
- After next sync the mail will be re-synced by gmail in "All messages"

. Now 2 messages (because of location in 2 folders "sent" and "work"), shown as conversation.
It's not perfect, but better than nothing. Of course I would prefer a copy feature within the same account.