Conversation view in search folders in Outlook 2013
I stumbled on a way to enable "show as conversations" on search folders, after hours of trying different workarounds.
After selecting the search folder, go to the view ribbon, select "Date (Conversations)". For some reason this enables "show as conversations" and it works like regular folders.
You can't enable Conversation View on search folders. But you can workaround this by customizing view. Click View Settings, Group By. Clear Automatically group... check and select Conversation in the Group items by part of the window.
I was looking for the answer to this for Office 365, and it's a similar solution to the one James mentioned. Here's the updated method for the Office 365 Outlook desktop app (version 1905):
After selecting the search folder, go to the top right of the resulting email list (to the right of the "Unread" filter button), and click on the sort method dropdown, and under "Arrange By", click "Date".
Then on the ribbon, click on the View header, then under the Messages section, enable "Show as Conversations".