I was docked a late message when I responded within an hour of the original message.
And I responded to a buyer and then she thanked me for the item after it arrived. didn't respond to that and was docked. Usually I do a smile or something even though the conversation is really complete before so that I have responded in some way to all incoming mail.
@BellaBakingAccents: Are you basing this on the applicable CSV file? Have you checked to make sure there is not some other message that Etsy thinks you did not answer within the 24 hour reply window?