OK. First off, I do appreciate you trying again to understand where I'm coming from -- and, as I said in my original post on the other (closed) thread, this <strike>problem</strike> feature is not just in my own head; I have experience with one other person running a blog with the same twenty-ten theme, who found that visitors to his blog were causing him grief 'because they were being stupid' (from his point of view as an 'expert' user).
I think it may help, first of all, to point out that the number of thread 'reply levels' is limited by physical screen space. You can't keep on adding extra levels to accommodate long discussions, because, even assuming that there is no upper bound, at some point (I haven't tested it) the indent will make the lower 'levels' ludicrously narrow.
I believe that the twenty-ten theme comes with a default 'reply level' of three. The reason that my blog is set at four, not three, is because I changed it, some time ago, in my first attempt to try to resolve this problem/feature.
In your post at 09:25 this morning, you referred to a thread being 'closed'. This is, I think, where the misunderstanding is happening, because in effect we're in a situation where if a user wants to reply to such a 'closed thread', the system state is -- apparently 'by design' -- undefined.
Again, I request that you look at this comment on my blog. The user in this case has attempted to reply to the 'closed thread' above where his post appears, but there is no obvious 'reply' link for him to use; he would probably have to (counter-intuitively) scroll up the page to see the reply link, and as a result has (quite understandably) therefore used the comment box at the foot of the page to compose his reply -- and this has had the effect of creating a 'new' thread. Now, an 'expert' user of the system-as-designed will come to understand that by using the last reply link actually in the thread -- ie, the one that is available at the foot of this comment -- the 'closed' thread can actually (shock, horror) continue. But the problem here is that this is by no means intuitive. The workaround for the problem requires an 'expert' level of understanding of this particular interface; it is unreasonable (not to mention impolite) to expect every passerby to have that depth of understanding.
If I've made myself clear this time around, the answer to your '[Tell me what you want to have happen here.]' should be self-evident. What needs to happen from a logical standpoint is that the 'newbie' user should not be in any doubt how to reply to an existing message thread. For this to happen, I think that there should be a final 'reply' link at the last level that behaves in the same way as the one before it. Thus, any further replies to the thread can simply be appended at the final 'reply level'.
I really cannot think of any better way to describe this problem. And though you maintain that "it's not a problem", I would ask you to consider that if it weren't a problem, do you honestly think I would wasting my Sunday afternoon writing here? If you do, then you don't know me... but then that, to me, is self-evident already.
Here's hoping that having written all this drivel, you'll actually pay me the courtesy of reading it and trying to understand what the problem is. If there is a solution other than "it's working as intended," that would be a bonus.