Yahoo! Mail Beta Goes Public
This is the way conversations work in Gmail. If you notice to the right of each "shadow", as you call it, earlier dates are at the top, and more recent dates are at the bottom -- plus the first two messages have attachments. What you're seeing are obviously the different emails that were sent within the same conversation.
Clicking on the earlier messages in the conversation is only necessary if you need to access the attachments to those messages or if you don't quote the previous message each time you reply. Otherwise, yes, it'll show you duplicate information because you're duplicating the prior information each time you respond.