You mean a Visitor Message on your profile? Ordinarily you'd reply on their profile if you want others to see it too, or by Private Message (PM) if not.

Occasionally someone will post the reply on their own profile. Unfortunately the intended recipient doesn't get a notification that way, and may not think to visit that profile again. Also, the "View Conversation" feature only shows VMs from Member A on Member B's profile and from B on A's, not messages that A or B may have posted on their own profiles.