What you might be seeing is that some micro.blog users don't display comments on their posts, so even though they will have received your reply, you won't see it listed as a comment. It will still show up in their timeline though.
Recently, Micro.blog also added support for people to include their replies on their own blogs rather than only inside the micro.blog timeline. This is described here: https://help.micro.blog/2020/hosted-replies/ Not everyone has enabled that feature, and not everyone wants that either.
I hope this helps clear some things up. @manton is definitely 100% in support of the indieweb goals, and has done an amazing job building Micro.blog. The latest features around receiving external webmentions and hosting replies on peoples' own blogs have made it a really excellent first-class IndieWeb option.