Blogger's comment system has been updated and it now supports threading. You can now reply to a comment and read the entire conversation. "It is now much easier to differentiate between whether someone is making a general comment on the thread, or responding to another comment on the thread," informs Google.
The threaded view is only available for embedded comments and it requires to enable full-text blog feeds.
If you've manually customized your blog's template, you may not see the new feature. One way to solve this issue is to reset widgets. In the new Blogger interface, go to the Template tab, click "Backup/Restore" and download your template, then click "Edit HTML", "Proceed" and "Revert widget templates to default". If something doesn't look right, you can always go back to the old template by clicking "Backup / Restore" and uploading the template you've saved.