My Subscriber replies to a message, but it is not delivered to the list.
Subscribers can use Reply or Reply All to an email. Those two options are available in every email reader.
Your List settings will affect what happens. Reply could go to the Individual who sent the message, or it could go to the entire list.
Help for List Owners / Moderators
Controlling how replies are handled is described in detail in this post. Why this setting can be controversial is also discussed.