Since eBay doesn't provide any ID for previous messages, we use message subjects and eBay user IDs to identify threads. When you set up ChannelReply, there may already be several tickets in your Zendesk account with the same subject from the same customer, and thus ChannelReply can't identify which ticket should be updated. It therefore creates a new one.
In such cases (when you receive a reply as a new ticket), we suggest doing the following:
After that, all new replies from eBay with that subject will go into this ticket.
A few weeks after ChannelReply setup, there shouldn't be any cases of multiple tickets with the same subject, and all your conversations should be threaded.