Comment Reply Threads

I've seen that when you reply to a comment, sometimes it creates like a separate thread (showing you are replying exactly to that comment). Like on the Screenshot with Shahjahan Jewel comments.

But, not sure why, I was replying to specific comments of Natascha Vantuykom , but they were being added as general comments (eve I clicked on reply).

Any hint?

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UPDATE: Sorry, I have seen that in the thread with Natascha we were actually commenting in a thread (already a comment reply). So, the thing is, you can not reply to specific replies in a thread.