When replying to a post, Micro.blog will attempt to send a Webmention to that post. This allows the other site to include the reply alongside the original post.
Hosted blogs on Micro.blogs can also receive Webmentions from other sites outside of Micro.blog, but currently only for site URLs which have also been set in a Micro.blog user’s profile. Micro.blog uses this to match the reply with a Micro.blog username.
See this help page for more about replies on Micro.blog.