Should yahoo answers inform you when you get a comment reply? Should notification link directly instead of scrolling through every comment?

They would need to change how comments work. Currently, comments are unlimited and cost zero points. If there were notifications, spammers would soon fill your inbox with their messages by posting them as comments. For notifications to work, they would need to limit them to say five per day.

It would be nice but it's not going to happen while Yahoo has it. The rationale behind this is that comments are not worth points or do you lose points if they are removed for a violation. Plus it would increase the amount of activities for all accounts. Yahoo will not do anything that will cost them more money to run this site. Maybe after it is sold but not now.

No.
Because Y!A is not a social network. You SHOULDN'T be commenting and replying to comments. Thats not what this site is for.