If you've set up the Mailgun and Prospect Reach email account integration successfully and the replies aren't still showing up in your Prospect Reach inbox, it's possible that the reply tracking features in your Mailgun account are off.
In your Mailgun Control Panel, click on Sending on the left of the screen.
Select your domain name.
Click on Domain Settings.
Then turn on both the Open tracking and Click Tracking if they're both turned off:
Try to test the reply tracking in Prospect Reach after that.