What are Threaded Comments?
Threaded comments are comments that can be replied to in a social media website or comments section, allowing any comment to start a thread of comments in reply to it.
This term normally refers to the idea that every comment has its its own thread, meaning that you have be multiple layers "deep" in a comment thread, and that comments form a tree structure. Typically, it also means that comments can be folded and expanded to display or hide replies (also called "child" comments).
Some social media only allow you to reply to top level comments, e.g. Youtube, so they aren't considered threaded comments.