Well, I can't speak to what happens with clipping threads in ML as I don't run ML. However, the clip-o-tron only works when you have the message list active — otherwise you are using the standard clipping service, which requires a selection. Even if you have the entire message selected, the results will not be identical to those provided by the clip-o-tron, as you won't get the link to the original message.
Talk to the support ninjas to investigate the thread clipping issue. Use Help->Send Feedback, email
omnifocus@omnigroup.com, or call 1-800-315-6664 or +1-206-523-4152 between 10 and 5 weekdays Seattle time.