In my Thunderbird 115 fresh reinstall (my 102 profile was too buggy) I had the same problem.Discussions where always expanded in "Incoming emails" main folders (5 accounts), and always collapsed in sub folders.It was very confusing to have two differ...
I tried on my Thunderbird (115.3.2), and it works as expected: labels are kept when moving a mail from "Incoming Mail" to a subfolder, or even to another account.
