Generally, any kind of event (note, reply, longform note, whatever) is only found on the relay that the original user published it to. If my short list of relays doesn’t overlap with those relays I will not see the event.
I think this is more of an issue in the short term for me since I was still signed up for the nostr.wine services a few days ago. Their service effectively broadcasts and retrieves events from a broader set of relays than I was subscribed to. Now that I am no longer using the service I am noticing that some of the events I was seeing and even some replies to my own events aren’t necessarily on my smaller set of relays.
I think part of the solution to this is clients getting smarter about where they broadcast and rebroadcast notes to especially when replying to a user that might not have much relay overlap with you.