While conversations in team channels are accessible to all members of that team, private chats take place between two or more individuals and are accessible by clicking the Chat icon in the left sidebar.
In a group chat, all messages appear in the order they were posted, no matter who posted them. If you see an earlier message you want to reply to directly, move the mouse pointer over that message. A toolbar of emoticons appears; click the three-dot (More options) icon and select Reply on the small menu that opens. Your reply will show the message you’re replying to for context.