When commenting, if there is a comment thread, not all comments have a reply, which is confusing.
I tried to reproduce this by creating a test question with a few comments and ensuring that I would have nested/threaded comments until the maximum level allowed, but the reply button still appeared in all of them. Do you remember the question where you observed this situation?
Weird, tried with my user and a test user (no moderator permissions) and could not repro; do you have any console errors or warnings when that happens?