I've see that too, but I think that's more a UX bug. LIke the comment link assumes everything is on the first page, and takes you to the first page, and then the comment is not there, but if you and dig among the pages then you will find your comment again and the reply.
There's a bug tracker for us to report bugs like this somewhere I think.
I've noticed something similar a couple times so far. When I check my notifications I can see when new replies show up, but sometimes when I click into the thread, the reply isn't visible anywhere. I can browse to the user's profile and see their comment on the feed, so I know it exists somewhere.
Definitely smells like a bug, but I'm not sure where to officially report stuff like that.
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