Yes, I'm aware of this. I guess the way I use Facebook is now how you use Facebook. When somebody posts on my wall, I reply by posting a comment on their wall post; not by going to their wall and responding. This way the conversation is kept all together.
XF offers the same functionality: comments on profile posts... which is what I, personally, prefer. It just seems silly to have to go the the other person's wall to make the reply when you can do it right there on your profile.