moderated Re: saving a message in a folder
If you have not turned on Gmail's own keyboard shortcuts, definitely do so. That's discussed in, Use Gmail with a screen reader - Gmail Help.
Gmail does not use the typical terminology of folder for their webmail interface, but instead calls them labels (and these are, behind the scenes, implemented as folders - don' task me why they ever chose to use the labels terminology). The end of the above noted page discusses the creation of labels and applying a label to a message or group of messages.
If you know that there are certain messages, based on something like who's sent them, something in the subject field, etc., that you want in a specific folder (label) it makes much more sense to create filters in Gmail to handle this for you as messages come in. I created a tutorial dedicated to this, Creating IMAP Labels (Folders) and Filters for Gmail.
Here are several more tutorials I've created that may prove useful to you at some point:
I am not certain what it is that you want to know about navigating conversation view (threaded messages) but it's touched on briefly in the Gmail help page I gave the link to earlier.
I have not watched it, but there is a YouTube item that may prove to be helpful to you:
Using the Online Gmail Client with NVDA - YouTube
Brian - Windows 10 Pro, 64-Bit, Version 1909, Build 18363
The purpose of education is not to validate ignorance but to overcome it.