for live reply to work, the message has to be from a subscriber - it sounds like the message is not being left as a sub-to-sub message. Which means either the person who left it was calling from an external line not associated with their subscriber account or you may have ISM (Identified Subscriber Messaging) turned off and they called directly from their phone.
If you call in, sign in as a subscriber, address a message to another subscriber, can that subscriber then live reply properly? I suspect they will.
So the question will be how they're leaving messages such that they're not noted as being from a subscriber but as an outside caller...