Amen to that. If someone posts a message on my user talk page, I get a new message warning. If I respond on my own talk page, the person I replied to doesn't necessarily see that I answered unless I post on their talk page. so you end up seeing half conversations spread everywhere with very little cohesiveness.
It's a bit headache-inducing... *casts Ephedra*
Well, on Bulbapedia at least, its considered common courtesy to watch talk pages you comment on. It's also banable to boop and moan about not getting a reply when it's kept on the page the comment was placed and you don't see it.