If I am not mistaken, in that example you are replying to a specific user’s comment, and not the original post - that is true. However, you are replying to the PREVIOUS last comment, and therefore the “in reply to” button (which is in fact a navigational aid back to the relevant comment you are linking to) is not required because it is immediately above.
If you did this with a comment that did not immediately precede your comment, then you would see the “in reply to” above your comment, and a ‘reply’ would appear in that comment
such as this thread (because there are other comments in between):
Does that explain it?
If you want to emphasise the link with the comment even though it is the previous one, you could always quote a section
EDIT: have you ever tried clicking on these titles? It shows you the relevant message and replaces the concept of the threaded discussion