To answer the question in your original message, no they don't. Creating a custom listing is not the same as responding to the original message. When you use the custom listing side bar at the right of the message, it creates the listing in the listings section, and sends it to the buyer, but it is a separate message. You still need to return to the original message and reply to let the buyer know you have sent the listing link. You can create a short snippet for this situation, something like " as discussed, you should receive a link to your custom link very soon". Once saved, it only takes a couple of clicks to select the snippet as needed, and send the reply in the message screen. If you do a lot of custom listings that little snippet will save you a lot of time.
