When I click the chain icon, it brings me to the post and I can see the reply comment, but not my own (which for me adds a lot of needed context for interpreting the reply). Is this normal?
Now that I've found it... Yes that's normal, though I'd say not terribly helpful. You have to click the "show context" button above to see what you're after.
Even then the context button seems to open the thread showing the top level comment that you posted somewhere under plus all its child comments. Which is fine for a small number of replies. But if you've replied amongst a dozen or so sub threads, showing "context" in this way isn't that helpful, you still end up scrolling loads to find your post + the reply.
"Context" view really ought to only show the single trail of parent comments from your comment up to the top