@marksquires well, to be fair, the BlueSky bridge is made and funded by a single person with only a few helpful contributors.
However, when the bridge was first announced, he got MASSIVE backlash for using the term "opt-out" which is just how the Fediverse works. You didn't have to opt-in to get this reply, for example. Due to the backlash, he requires an account to be followed on each side before the interactions will propagate on both ends. Did you follow the Bridgy account from your BlueSky account? The documents say:
"To bridge your Bluesky account into the fediverse and interact with people there, follow @ap.brid.gy on Bluesky."
So be sure to do that first, then any future interactions SHOULD come through. Though it's VERY early and he's still working on fixing and refining things.👍