When you reply to a thread where the parent comment is marked as Team Only, you will notice that you only have the option to mark that reply as Team Only.
If the first comment is a team-only comment, then all replies have to be team-only as well.
We do this because a non-team member viewing this thread would see 'orphaned' replies to comments with no parent comment to give context.
Confusing? Just a little, but trust us it all makes sense in practice.