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Thanks. This is apparently a feature that SMF itself has done away with, since I don't see it in 2.0 versions. Unless it's something you have to enable in the admin. If it's a feature they've done away with, then maybe they did get rid of it for performance reasons. Having said that, though, I will say it works pretty quickly on the site you linked to. But then I don't know what kind of server they're hosted on, etc.
Using, for example, AJAX/JS to implement seamless loading as suggested would work, however I was referring to simply loading all posts at once in a single request, which would cause performance issues on large threads (talking 1000s of posts).