there are any number of reasons you might not be able to respond to a comment. if a submission gets killed, further comments on it are usually not allowed. as a thread gets more deeply nested, there is a delay before the reply link appears, which is to give people time to cool down before saying things they might regret. pg is constantly tinkering with the system, so there may be other reasons i'm not yet aware of.
in other words, just be cool and observe. there's usually a good reason for most site behaviors, but it will be a lot more subtle than you're used to, and not spelled out as explicitly as you might have expected. that's pg's way.