I have a long conversation with many recipients (I'm organising an event), in amongst the replies I have 3 or 4 mail delivery failed messages, which I'd like to Archive (so that they're not messing up the conversation) but don't want to delete (as I want to refer to them later, to figure out who's addresses are bouncing).
PS I've found a similar question about marking-as-read, but I can't see anything quite like this
How to mark as unread just one message and not the entire conversation in Gmail
Best Answer
Unfortunately, no.
"Archive" does nothing but remove the "Inbox" label from the conversation. Labels can only be applied to (and removed from) conversations.
If you turn off Conversation view (an ability only recently added to Gmail) then it does appear you can change the labels on the messages individually. But then, you'll lose what I think is the strongest feature of Gmail. And, if you do it just temporarily, it appears that the "conversation" is broken, so even when you go back to Conversation view the entire conversation is broken up, never to be reassembled.
(I also tried a kludge where I deleted an individual message from a conversation then tried to apply different labels to it, but when I removed it from the Trash it went back to the Inbox and was right back in the conversation view.)