Same problem here, but it almost seems intermittent. I noticed this the other night. I thought maybe I had somehow just composed a new tweet rather than a reply. I just checked three of my replies from my stream- one showed me the conversation, two did not. I'm afraid I don't tweet much so I'd need to go back a week to get more examples, and that is way too much scrolling.
Anyone else? Does it matter if you've already first looked at the conversation on your profile page?