Not exactly sure what your are trying to do. Yes, all comments and all replies are part of one big comments collection. However, .Replies returns a collection of comments (replies) to a parent comment. So maybe this will help:
Sub ScratchMacro()
'A basic Word macro coded by Greg Maxey
Dim oComments As Comments
Dim oComment As Comment
Dim lngIndex As Long
Set oComments = ActiveDocument.Comments
For Each oComment In oComments
If oComment.Replies.Count > 0 Then
For lngIndex = 1 To oComment.Replies.Count
MsgBox oComment.Replies(lngIndex).Range.Text
Next
End If
Next
lbl_Exit:
Exit Sub
End Sub