Well, I checked email sources and found that even without %{reply_key} there were headers like these:
From: ForumN <forum@forum.tld>
Reply-To: Discoursesds <forum-reply@forum.tld>
To: user@ya.ru
Message-ID: <topic/13/26@forum.tld>
In-Reply-To: <topic/13@forum.tld>
References: <topic/13@forum.tld>
So after replying to that mail, the reply goes to the correct topic.
I’m using Yandex as a delivery service and sadly I can’t access their logs.
But anyway I can’t understand where email address with reply_key goes to: from header, reply-to header or somewhere else? Is there any example of email generated by discourse for such notifications (with the ability to reply by email)?