We did a post on this on NSFE. The type of notification received will determine how the link responds when taking you to the thread / post.
First, if you are replying to a post and want to keep it linear in the feed and have the notification take it directly to the post, DO NOT HIT the reply button but instead Quote some text to have the Quote open the text box to reply. When you do this, your reply is posted in line as a direct reply to the OP’s post (even if you are replying to a nested post within the thread).
If you tag someone, the notification will take them directly to the post even if it is a nested post. So, if you click the reply button and want the person to be able to find the post easy, just tag the person you are replying to.
If you get a notification that says “You received X# reply(replies) on your post”, that will take you to your post but you will have to click the “Show X# reply(replies)” toggle to see the reply. If you have more than one reply, you will have to scroll and figure out which one(s) are involved.
The notification for “You have received X# vote(s)” should go to the post where it is nested or not.
Summary … if you get 3 notifications that you have a reply (X# reply, You were quoted, You were mentioned), only the X# reply will not go directly to the post (so select Quoted or Mentioned). If you want to make it easy on the person you are replying to, always Quote first to open the reply box or tag the person you are replying to.
Now if we could only get the options to Follow a thread and bookmarks.