Dig a little deeper into the BP Messages file and you will see that bp_message_thread_content() only outputs the last message in the thread.
Similarly with bp_message_thread_subject(). bp_message_thread() sets up the last message data but no other message data.
Instead it looks like you want a new class of BP_Messages_Thread_Template to output the messages for the thread. eg.
while ( bp_message_threads() ) {
bp_message_thread();
$thread_id = bp_get_message_thread_id();
$order="DESC"; // or 'ASC'
new BP_Messages_Thread_Template( $thread_id, $order );
// so that instead of `bp_message_thread_content()
while ( bp_thread_messages() ) {
bp_thread_the_message();
bp_the_thread_message_content();
}
}
There are more methods/functions for that class but that should get you in the right direction… 🙂