They can reply directly to the sender only because the sender’s email address is available in the From: line of the message. Discourse does not share the sender’s email, so there is no way to reply directly to the sender via email.
I have developed this plugin: GitHub - pfaffman/discourse-email-include-address: Include email addresses on emailed notifications · GitHub for another community whose users don’t want to use Discourse but instead want a mailing list. It hasn’t been updated in 3 years (as I suspect is true for the Discourse instance that I developed this for) so there is a good chance that it is broken.
If you fix it, I’ll welcome a PR. If you need help fixing it and have a budget, you can contact me directly.