Facebook Finally Debuts Comment Threads--For Pages and Public Figures Only
At its core, there’s little to say about Replies: on Pages and for public figures, users can comment on someone else’s comment. However, Facebook added another element, which is that the “most active and engaging” conversations will float to the top so visitors will see them first. In a blog post, Facebook’s Vadim Lavrusik said that different users will see the threads differently based on their own connections, and in general the sorting will be affected by the number of likes and comments as well as negative feedback such as spammers.
If you have a Page or are a celebrity (however minor), you can opt in to the new feature, although you won’t have a choice but to comply come July 10th. Replies are currently only available on the desktop, but it’ll be available for mobile soon

It would be nice if Groups could have the Replies feature sometime soon as well, and of course individual users have long pined for it. Hopefully, comment threads will someday be available anywhere you can make a Facebook comment.