Are you saying the notification tray icon is directing you to a blank
compose message (in the system messaging app) rather than the actual
messaging thread?
Can you try this: SMS Popup -> Additional Settings -> Button
Configuration -> try setting a button to "Reply" and seeing if that
helps. If not, then try setting a button to "Reply (to phone number)"
and see if that helps.
I know this seems strange, but there are basically two ways to "reply"
to a message using the system app (to the "message thread" and to the
"person"). HTC Sense UI phones handle these two types slightly
differently. As there is no setting for which one is triggered by the
pull-down notification, I fetch this from the popup button settings.
Adam