@BB1 yup totally correct there. This would be that order of operation:
1) Marketing email sent to contact
2) Contact replies to a connected inbox which was the “reply-to” address of email
3) Someone at the company (marketers, account rep, etc.) replies and logs the email. Then the text of the contacts reply will show up in the CRM
If you are using just a connected inbox and not a team inbox, then the text of the replies are not automatically logged in step 2 above, and you need step 3.
And to further clarify, in either case, the data point will be created which is what shows up in the reporting pages, lists, workflows, and on the timeline (X contact, replied to Y email).