Great feature, nasty, nasty, nasty for load.
1) when threads are pulled we would have to pull the entire message list for every thread (SLOW SLOW SLOW)
2) a look up table would have to be created, whenver you write a message we would have to insert another record into another table saying x posted in y. When the thread is pulled we'd have to join on that and verify if you exist (again slows down thread listing).
My forums, search both accomplish the exact same thing without slowing down an enterprise class application. Easy to say "other people do it", throw 5000 simultaneous users at that app with all the fluff settings on, and I'd be willing to bet page times get nasty rather quickly. The second option wouldn't be too bad, but it would definitely cause some slower rendering of thread listings.
Cheers.