There are tools to import mails into whichever email client you prefer, especially if the list is archived on a public-inbox instance, which is the best mailing list archiving system so far.
You can't seriously claim that this is good UX. And that's what this is about: not that it's impossible but that the UX is not good, especially for the casual user only interested in the occasional thread.
The web interface for the archive is for casual users and I believe most have clickable link for the subject that lists the email in a thread and a “previous/next in thread” button.
If you’re downloading mbox files, then you know how to handle them.
