If the settings are to have threads 3 levels deep, then there is no ‘reply’ link for a comment at level 3.
You have to adjust the code to do that. And, after mucking about, I figured that out.
I also figured out how to keep the comment content if you submit without filling in required fields. For instance, on your site, if you just type in the comment text, and don’t fill in the name or other required fields (which you can’t tell from your comment form, BTW), then you just get an error message, and you loose all of what you entered. (Which just happened to me, BTW, so had to start all over.)
But I figured out that too.