Comment on Stallion Theme Comment Links SEO Features by Stallion WordPress SEO Theme Author.
Those are WordPress core functions under
Settings >> Discussions
Tick “Enable threaded (nested) comments” and if you have posts with a lot of comments use the “Break comments into pages with….” option.
Not sure why you’d not get the right Gravatars.
Settings for this site for example are:
Show Avatars
G — Suitable for all audiences
MonsterID (Generated)
I have other sites with different settings with no problems.
Looks like you have it set to something like:
Show Avatars
G — Suitable for all audiences
Gravatar Logo
Have you tried changing the last setting?
If you have and it doesn’t come through (says on the options page it’s set, but doesn’t work on the site) could be you’ve edited one of the comment template files and broke something. I rewrote the comment code for gravatars so they would no longer be shown as linked images (potential negative SEO impact as linked images have SEO value and adding say 50 off site linked images with no alt text and no SEO value was a bad idea). The gravatars with Stallion are loaded as background images using CSS (they have no SEO impact now) and this required writing custom gravatar code to achieve. As far as I know, Stallion is the only WordPress theme that does it this way, one of many SEO features I’ve not documented 
David
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