Another frustration on LJ with "screened" is that I cannot make a screened comment and reply to it without unscreening.

Gods, yes. LJ makes you rely on email for that sort of thing, which requires you to know their email address, doesn't flow well usability-wise, and irrevocably splits off that conversation from the main one (re: where it's recorded / viewed - not that a screened sub-conversation would necessarily ever re-merge and become public again; while I could imagine that being useful, I could also imagine it being confusing.)