I think you're meant to respond on *their* usernotes - that way, they just have to click "view conversation" to see the full back-and-forth flow. It also means they'll see your reply sooner, since people check their own usernotes for updates more often than others'.
Hey, while I'm typing in here, am I supposed to respond to people in their usernotes or mine? I mean, what's the common etiquette on that? *waits for a few months for the next visitor to answer*