[ Someone else sent this to me. I will probably get to upgrading his site and checking whether this still exists in D7, sometime before the world collapses. For now, I'm reporting it against D6 so search machines can see it etc. ]

If there are more (threaded) comments to a node than one page can handle... the comment at the top of page 2 could need to be several levels deep.

The code does not account for that - it indents comments one step at a time. Which can render comments in such a way that the threading is messed up.
See screenshots (of page 2 with '10 comments per page') from a test site I did; the first two comments are siblings, not children.

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Status: Needs review » Closed (outdated)

Automatically closed because Drupal 6 is no longer supported. If the issue verifiably applies to later versions, please reopen with details and update the version.