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You should always get a notification (email, if you subscribe) to new replies on discrete comments. Sometimes, they do appear nested in the notification "tree," so I know what you are talking about. I am not sure why there is that difference, nor can I speak to why/whether they would/would not turn your hubwheel orange, so I'm afraid I can't offer a lot of insight here. I am signed up for notification emails and handle all my replies, mail, etc, through those, so frankly I do not actually click on the hubwheel and read through my notifications much. Sorry!