Finally.
It has been haunting me for some time that the nice feature of being able to drag an e-mail from Apple Mail to Reminders to create a reminder fails for some e-mails. I have been looking into headers to find why this was happening. It turned out that I was looking for an answer in the wrong place.
The answer is how Mail shows mails. While trying to put together a history of the conversation, if there are identical mails in different folders, then Mail shows a small “c Duplicates” link below the header part. It turns out that when you see this link, you can’t create a link from that e-mail (because there are more than one e-mails that you are trying to link to).
How do you get such duplicates? Well, send a mail to an e-mail list which also sends you back a copy of your e-mail. I have a dozen subscriptions like that.
Solution? It turned out to be quite simple. Just click the “n Duplicates” link and Mail will show them separately. Now you can create a reminder from that e-mail.
Hope this helps.