Lesson learned. Received a return request message. Went to order and initiated a return label. On that screen it has option to message buyer with return instructions. I gave instructions. Even though it shows up as a message to buyer (as shown by my screenshot), this does not send thru the same message circuit as any other message nor does it add it to the thread of the original message. Metrics dinged. Star seller badge lost! 
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Oh no! That is very odd, hope you sent feedback. Thank you for warning the rest of us.
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