Currently, Atom feeds generated by WordPress do not have any "replies" link or any attribute and element of the Atom Threading Extensions, although the extensions' XML namespace is declared. I think WordPress should support/use the Atom Threading Extensions, by having the following features.
Each Atom feed entry should contain two "replies" links, one to the HTML comment page and one to the Atom comment feed of that entry. Each link should have a thr:count attribute to indicate the number of comments and a thr:updated attribute to indicate the last-modified time of the latest comment, if possible.
A thr:total element should be added as a child of atom:entry to indicate the total number of comments.