I'm investigating UGC for an implementation and one of the requirements is that visitors should be able to leave a comment on a comment. I've read the docs, and searched the internet (including the deep web) but can't fine any info on this topic. This probably means that this isn't supported OOTB. Anyone know for sure?
UGC comments can be bound to Pages and Components, so indeed as you already found, there is no OOTB support for commenting on a Comment, since the Comment is not a item in the API to which you can bind a Comment.
I wouldn't directly have an idea on how you could easily implement this at the moment.