Wait, are you talking about the actual reply once it’s published, not about the composing interface for the reply? Because I in the composing interface I can always see who I’m replying to (an individual post or the thread), though it appears on the left as seen in the screencast I posted above.

I suspect the actual post, once published, doesn’t show who you are replying to if it’s a response to the immediately preceding post.

EDIT: indeed, this was the case: I wrote this post as a reply to your last post, and saw that indication in the composing interface, but once published, it didn’t show up in the thread as being a reply to your post specifically.