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It depends on your channel’s culture, but generally you check the box when you want to draw some of the general channel population into the conversation or just want them to see your reply.

If you want specific others to participate in your thread, you just @ them in your reply. No need to send to channel.

Slack only has an embedded thread feature, not a reply feature.

Stackexchange chat has a proper reply feature. You can reply to a message in the same channel. Your message still goes on the bottom of the current channel, but it pings(highlights) the user and contains a link icon to the original message. Hovering on a reply also highlights the message it responds to (if it's on the screen). This is mainly used when responding to older messages, where it otherwise wouldn't be easy to see what you're responding to.

I agree, Slack replies are awful. The only chat reply feature I've ever enjoyed was Flowdock's. It doesn't create threads it just connects replies with colors. It's great.