When a user comments, the comment will show up in that articles comment section, using the Facebook Comment box. You (the admin) can also configure JFBConnect to send you an email when a new comment is made to a page so you can check it out.
The post itself will also, normally, be posted to a user's Facebook wall. I say normally, because the user can choose whether the comment actually gets posted to the wall, and we can't force that.
Unfortunately, the normal commenting method for Facebook does not allow automatic posting to a Fanpage wall. I'm not sure how the other extension your using actually does that but would like to know more about what extension you're using. In short, JFBConnect does not have that ability built in right now.
As for replies, yes, those will show up on the article itself. We do a lot of things to make sure that the URLs for your article are the canonical (best) URL, so even if you show the comment boxes for an article in the blog view, and someone comments there, the comment will be attached to the 'final' article view. If someone then replies to this comment, either on facebook.com by looking at the user's wall, or on your site, the reply will be in a threaded discussion on your article itself.
Hope that all helps, but if you have any other questions, just let us know!
Alex