I haven't fully tested this hypothesis, but it's based on what I do know.
I believe that when a comment/reply is federated before the main OP thread/article, it "looks at what it's a reply to" and tries to fetch the "parent" thread. But (and I haven't verified so I'm not certain yet), when it fetches the parent Thread, I don't believe that contains the "group/(magazine)" information, just the "thread content/post" part. It's because magazines are not the author of the Article/Thread, the user account is and so a reply would be to content that the OP account created without reference to the Magazine.
When new content is federated and pushed out at creation time, that does have the associated Magazine information, even though the author is still the user account that created the Article/Thread/Link, etc.