I also have AT&T, and this carrier doesn't 'thread' these messages together, as you would see a conversation with a regular phone number.
This is unfortunately how it works with AT&T. It's a pain if you're getting a lot of alerts and still want to be able to carry on other conversations.
Some other carriers do; with Verizon, for example, all your Apex text alerts can be grouped. (Or at least, I've seen it on one friend's phone.)
About a month ago, I noticed that, for whatever reason, Apex text alerts were arriving variably late.
Sometimes 1 minute, sometimes 10 minutes or more.
Not sure if this was a problem with AT&T, or Neptune's message servers.
Either way, I decided to switch from texts to notifications by the Apex Fusion app.
So much better - They pop up within seconds of any alert condition triggering,
and they don't appear at all in my text conversations list.
I also get email notifications, but this is more to establish a 'digital trail' if I want to troubleshoot something later.