@jd I have had this discussion with myself, too. What I settled on is that if I see a post that I wish to reply to on micro.blog, and I don't feel like the reply merrits its own post on my blog, I just reply directly through micro.blog. IF however I want my reply to be preserved as a post on my own domain I create a reply post on my website. IF the thing being replied to orginiated on someone's personal blog I send the webmention there, elsewise, I send it to their micro.blog account.
...not certain if that is the best approach, but so far it has been working well for me.