Hmmm. 
It should be connected to the message, not the user. So if I had a run of three consecutive posts, and you then replied to the last one, there’d be no ‘in-reply-to’ visuals. But if you replied to the second of the three, then it should have the ‘in-reply-to’ as they’re not next to each other.
I believe the third setting in the screenshot in the post above may play a part as well, depending on what (if anything) you quoted from the message. Does that sound like it may explain what you’re seeing?