Some of the issues are documented on this GitHub issue, and eventually we'll work out the best practice use case. So what if you don't care about best practices and just want to communicate with Micro.blog through Webmentions? I have a working solution on my own website.
Typically in a Webmention you have a source (your post) and a target (the post you are replying to) and the Webmention endpoint used is retrieved from the target. However because with Micro.blog sometimes the target post is on Wordpress or an externally hosted blog instead of Micro.blog. This causes an issue, because if you are wanting the Webmention to be received by Micro.blog but the target post does not advertise the Micro.blog Webmention endpoint, your post will never make it in to the Micro.blog system for an externally hosted post that you are replying to.
What I do is I essentially do a "cc/carbon copy" Webmention. First I do the standard Webmention sending procedure, and then I check if the target Webmention endpoint was Micro.blog's endpoint (https://micro.blog/webmention), if it is not then I know Micro.blog did not receive the post and I send an additional Webmention. The CC Webmention contains the source as my post, the target as the post I'm replying to, and it gets sent to the Micro.blog Webmention endpoint.
Micro.blog does a couple of things upon receiving the Webmention. First, it checks to see if the source post is coming from a URL that belongs to a verified Micro.blog user. Second, it checks if the target post exists already in the Micro.blog system. If both of those checks go through, then it will add the new post and link it up to the correct Micro.blog user as a reply to the correct Micro.blog post.
This is not necessarily an easy thing to add in most Webmention systems and is not the intended final destination of cross-site replies. But if you want it to work today, this useful hack will get it working for you.