A message somebody answered says how many replies it collected. Choose that line to read the whole exchange together, in the order it happened.
Opening a Thread
Under a message that was answered there is a "2 replies" line. Click it, or right-click the message and choose Open Thread, and the Thread window opens on that conversation. Opening it from one of the replies opens the same thread.
Nothing Is Moved
Every reply still appears in the channel where it was written. The Thread window is a second place to read them, never the only place — in a small room, hiding replies behind a panel is how a conversation stops happening in front of everybody.
Replying From the Window
"Reply in this thread" aims the channel's own input at the message that started it. You write where you always write, and what you send lands in the room and in the thread at once.
What a Thread Contains
Everything that answers the first message, including replies somebody later deleted, which are shown as removed so the count and the list always agree. Replies written before this feature existed keep the message they quoted and are not counted here.