The real reddit loads them in the same page without a refresh like you are expanding a comment thread. It is one area where a little bit of JS improves the user experience.
You can see the behavior without logging in by going to the old reddit site.
You can see the behavior without logging in by going to the old reddit site.
And after a certain depth collapses everything and you have no idea where you were or how to get back.
Even in the perfect world with performant js and no issues the concept still has no merit.