I have found that confusing too. While there is a reply button under each new post, the message seems to go at the end of the thread instead of beneath the intended message. This necessitates tagging the person you're responding to. I wasn't doing this at first, so I'm not sure if the people I was addressing saw it...?
The other benefit to this would be allowing a thread to take little side trips between users, as they sometimes do, while not interrupting the flow of the main topic.
I posted a link to this topic and a brief description of it in the idea section. This is definitely something that would make the forum experience fuller and more user friendly! Maybe it's something that can be looked at in the future.