Am I supposed to get a notification when I get a profile comment?

Also vBulletin has a feature where you can 'view conversation' which shows the linear discussion between the profiles of two users. For example...

http://www.blackburnweb.co.uk/converse.php?u=9&u2=916

If you are logged in and the conversation is yours you also get a post editor to post another comment.

In your user control panel you can configure profile comment and friend request notifications.

There isn't a bilateral/two-way threading system for profile comments, no. It's intended to be a very simple system with little bells and whistles, though there's always ideas for improvement in the future.