HTML/HTTP (i.e. The Web) is very much geared up for downloading "little and often". Threaded Mode caters for that scenario better, so in theory at least should provide better performance

I think I'll have to disagree with this. Though the individual pages will load faster than one, the time spent in backing up and loading the next page ten times will take longer than loading one page with ten posts. Another reason the sum of the individual parts is greater than the whole is because all the heading stuff at the top of the page needs to load only once rather than ten times.

As for getting mixed up with the topic, that's why we put a portion of the responded to post at the top of our new post.