I've noticed you have mentioned this a bit, at first I couldn't work out what you were talking about, but I think I've got it.
He's not, many users select the "quote" option when replying to a thread, so that the particular post they are responding to is known, I personally use it quite a bit to avoid confusion.
This will show up in your PM, but it's not really a PM.
This is the nature of forums.
