Hello Ruby Vee.
If you "follow" someone, they are able to post on your Activity Wall status. Until you "followed" me, I could not post on your status wall.
It's not a private message or a new thread. I don't really know how to compare this feature with anything. Unless, I guess (if you post on FB ... I do not), it's like updating what you are doing from minute to minute, hour to hour, etc.
You should find all of your status updates on your wall if you've rec'd any other than mine. And, if you left status updates on any other member's wall, you can go to theirs and read if they replied to you, etc.