In order to use Threaded Comments, your Facebook Page needs to support threaded comments. Pages created before July 10, 2013 would have this feature enabled by default on July 10. Administrators could, however, disable it. Pages created after July 10 will have this feature force turned on - you can no longer opt-out.
In case you have an older page, and this feature isn't enabled, you can turn it on by accessing the Page Settings and enabling the "Allow replies to comments on my Page" option, as below.
What's the Big Deal?
Threaded Comments provide both you and your communities a more powerful way to communicate with each other in the context of a Facebook Page Wall Post.
Cleaner Layout of Replies - Customers asking specific questions in a Wall Post's comments will now know when the page replies to his/her post specifically as it will be indented under his/her comment. No longer will replies be buried in comments! In the before and after screenshot below, on the left you see all the Page's replies bundled at the bottom of the comment thread. You don't know to which comment the Page is replying to.
On the right, the replies are directly under the user's comment - unambiguous and effective!
Better Notifications - When a Page replies to a comment left by a user, Facebook will notify* the user of this reply.
*These notifications assume the user has not opted out from receiving notifications like these in his/her profile settings.
How Threaded Comments work in VSocial
The screenshot below shows a fairly typical thread that includes both top level comments, replies to those comments, and finally replies to those replies.
When you click to activate a comment conversation, you'll be able to type the response into the reply box below. For details on replying to Conversations, please read Replying to Conversations in VSocial.
When you save and publish, the comment will be threaded underneath the incoming comment, as below: