It is not possible to send-as-a-reply (so the emails appear in one thread), if the sender is not the sender in both Step 1 and Step 2.

Campaign: Example

Step 3 Sender: Tom Thompson

Step 4 Sender: Jake Jackson

For your campaign, Step 4 is sent from Jake Jackson, not Tom Thompson. Meaning:

If 'Send as a reply' is toggled on, the email from Step 4 will be sent from Jake Jackson, with No Subject Line and will not be in a thread with the previous email sent from Tom Thompson.

If 'Send as a reply' is toggled off, the email from Step 5 will be sent from Jake Jackson, you will be able to set a Subject Line, still, the email will not be in a thread with the previous email sent from Tom Thompson.

If you would like the email to be in a thread, please ensure the sender for both Step 3 and Step 4 are the same person.