First, you have a blog on WordPress.com, so you can’t change any code to make this happen.
To start with, is all of the “background” above correct?
Yes.
Is there a way to enable the reply buttons on all levels of comments?
No, not on WordPress.com. If you self host a site, there are ways to do this.
If not, is there a known reason for the discrepancy in the interfaces?
No, there isn’t. Here’s a bug that has been filed and probably would be fixed. You should add your observations there.