When following a link in the "activity" page, you are directed to the entry directly. That is, if the activity was a comment, you directly jump to the comment.
But in the "responses" page, if you follow an entry and the entry relates to a question, you merely jump to that question and not to the response itself. (If the entry relates to an answer, then you jump to the comment itself, as expected.)
I find that behavior annoying, as it makes it difficult to directly link to a response, in particular if that response was a comment. I need to inspect the page source to find the comment-id to link to.