I had the same problem.? Mark explained that for technical reasons he could not put Reply to Sender links in plain text e-mails.? Since I wanted that feature to make it easier to describe to members how to respond privately, the easiest solution was to go into Settings and under Message Formatting, check the box next to:
Force HTML Emails
Make all emails HTML and remove the plain text digest option.
Any plain-text e-mail received from a member will be sent out as HTML with the Reply to Sender link you're looking for.
Mark