An annotation that has replies attached to it is called a threaded conversation.
The annotation feature supports threaded conversations, so when a user or reviewer attaches an annotation to an object, another user can reply to that comment by adding another comment to it. Other users can also reply to the original comment, or to any of the reply comments. See Replying to an Annotation Comment.
An object that already has a comment attached (which may also include replies) can have a new comment added to it dealing with a different issue. In this case, there are multiple distinct top-level comments. Each of those can begin a different threaded conversation.
When a structured document is viewed in the Browse view or the Reviewer interface, a comment box with replies displays the threaded conversation icon.
When an annotation is viewed in the Annotations dialog, the Annotations box displays an annotation with replies with a folder icon that can be expanded to show the replies.
Note: If you remove an annotation that is the parent of a threaded conversation, this will remove all its children annotations.