The Discord instances I've used do have threading. Maybe it's a configurable setting or maybe it's only available in paid versions of Discord. I have heard lots of complaints that the design makes it easy for people to miss that feature.

More broadly, it seems to be a common problem in chat UIs, regardless of what particular product you're on. I think there is a segment of internet users who have been online for a while now and are used to web 1.0 chat rooms where there was only one way to send messages. They do not have the muscle memory of using threads. That's why you see so many dangling responses that should not be standalone messages but rather should have been part of the thread.