I was unable to reproduce the bug. Here are the steps I took to try (unsuccessfully) to reproduce the bug:
Navigate to http://lesswrong.com/lw/f9l/.
Observe that at several places on that page there exist anchor elements with anchor text similar to, "load more comments (10 replies)".
Scroll to the start of the comments and activate the "Load all comments" anchor element.
At this point, I observed the correct behavior, namely, every place where it said something like, "load more comments (10 replies)" was replaced with a "subtree" of actual comments.
Browsers tested: Firefox version 10, Chrome latest version, Safari latest version.
Are you sure you do not have Javascript turned off :)
I'm using Firefox versions 16 (latest version) on Windows 7. After playing around with it, I see what's going on. When I click "Load all comments" it replaces the "load more comments (61 replies)" with a subtree of actual comments, but doesn't replace the "load more comments" elements in that subtree.
The "Load all comments" link that's at the bottom of articles with more than 500 comments doesn't work.