This is weird. I guess it should be the other way.
1) Post a comment. Threading should be on.
2) Approve the comment if needed. Check the status is Published.
3) Observe that there's no reply link.
4) Unpublish the comment.
5) Refresh the node page and observe that the unpublished comment is highlit and the reply link appeared
6) Try to reply. The reply itself should work, reply to replies also but always on unpublished comments.
Closed: works as designed
User interface
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It's likely this issue predates Contrib.social: some issue and comment data are missing.