Right where 1.2 is. If you wanted to see the direct responses to that, you'd click on that tweet, and then be looking at a new subthread. It's all predicated on whose message the reply-er clicked the reply button on.

    First Tweet
      Reply 1
      Reply 2 <-- click


    Reply 1
      Reply 1.1
      Reply 1.2

You only see the first two levels of the main tweet you're looking at. The first tweet, its replies, and the immediate children of those replies. Some indenting would make this a lot more intuitive.