I, too, have mentioned this before on multiple occasions.
I can speak definitively, though, to what comes in the digests.
In the Plain digest, at the end of each individual message entry, there is a link that has a text label in front of it that reads, "Reply to this message." When used it immediately opens the Groups.io page that allows you to reply to a given message, with the message you're replying to shown above the edit box for the subject (which is pre-populated correctly with "Re:" followed by the original thread title) and the edit box below that for your reply. This is, in my opinion, counterintuitive for someone who wishes to participate by e-mail alone since it throws them into the web interface, but if you know you're there you could use this method.
In the Full-Featured digest there are a group of hyperlinks at the bottom of each message in the digest with the click-through labels: View this Message, Reply to Group, Reply to Sender, Mute this Thread, and Back to Topics. The topics for a given full featured digest are all listed at the top. Full featured digests are in HTML format and need to be viewed in an e-mail client in that manner for all the automatic features related to hyperlinks to work. What's interesting, though, is that clicking either the "Reply to Group" or "Reply to Sender" options will open up a reply message in the e-mail client of your choice on your computer with the subject appropriately pre-populated so that duplicate threads will be avoided and you can just compose your response there. This also seems counterintuitive, but really works well for those who prefer to compose in their e-mailer as opposed to the web interface. The Full-Featured digest is much more functional overall than the plain text digest on many levels and I'd encourage anyone who doesn't insist on having their e-mail converted to plain text before reading to switch over to the full-featured digest if you're a digest user.
I will also add that there exists, in the plain text digests, a click-through link labeled, "Mute this thread," at the bottom of each and every message. One of the biggest advantages of groups.io, as far as I'm concerned, is the ability to mute any given thread you never wish to see anything from again, and it could not be more simple to do. I encourage people to avail themselves of this new feature when they encounter any thread that does not interest them and for which they would prefer not to receive any additional messages going forward.
I would have to believe that the "Mute this thread" link is included in individual message e-mails, too, but cannot speak to that definitively since I have only ever had digests sent, and stopped that when I started using the web interface (other than to turn it on occasionally to see if anything might have changed format wise). The digests I used in making the above statements are less than 2 weeks old, so their respective formats are current.