I have expierenced the same thing.  Another thing I have expierenced a couple of times is that I reply to someone, and later my reply has been made into its own thread.  Strange...

Normally it shall come a notification when you attend  a thread and someone else post in the same thread.

If you have noticed that such is not the case, use the option "watch this topic" which you find down right under each thread.

When you have hit this "link" it will start to display "stop watching this topic"

You have also some tools up right...just below the search field....which can help you to find those post you are interested in.

I think the whole thing is controlled by cookies, and if your browser or firewall prevent such thing, you will not receive notification.



As for reply going into a new thread, It might happen if you answer as first reply and the main reply is deleted or split away, although that will seldom happen.

It might also happen if a reply is found to be a new topic, but this happen most toward new members who just post without looking if the thread is suited.

I noticed the other day that I wasn't getting notifications of posts to subscribed to threads.  I just figured there was something up with the server.  
I always check new posts and watched topics to see what's new.

Yeah, I even started checking my bulk box to see if they were getting throw in there even though I have mysticboard on my contact list.  They weren't there either though.  I have found the link that shows me my posts and topics, that's what I've been using to keep up since I don't get all the info  Glad that that is there :D