It appears that my comments on my wall are threaded, but my comments in the forum are not.

This has the effect of having people able to reply on the wall and it not showing in the forum.

Am I missing a setting somewhere?

[@mercimeKeymaster @mercime 1 year, 1 month ago]

== It appears that my comments on my wall are threaded, but my comments in the forum are not. ==
That is correct, that is the default layout – activities are threaded just like comments in blog posts while forums have no threads.

== This has the effect of having people able to reply on the wall and it not showing in the forum. ==
You can “Disable activity stream commenting on blog and forum posts” so that your members can respond directly in your blog posts and forum posts instead. Go to dashboard menu > BuddyPress > Settings and click disable on that setting.