I'd highly suggest not be using URLs in the replies, because it will bring either captcha or an account lock in most cases.
On Twitter? I never once got a captcha and i'm tweeting 7.5k tweets per day with 100 accs since a few months now all with links, you do the math. Account lock may or may not come, that's hard to tell what causes it, because in most cases you perform different kind of actions, however i'd say, if you don't overdo the tweeting, with urls or without it, doesn't matter much, you won't get locked just because of tweeting.
The limit set by Twitter is 2.4k tweets per day, it's there for a reason, i wouldn't go any where near that number though. That's 100 tweets/hr, i personally did 10-15 tweets per hour with a few accounts, never had a single issue. If you're in need of tweeting more often, just use multiple accounts.
To OP: You can always purge your tweets after some time, there are services like
this one to do it with a single click. Also if you don't do following and don't already have a big follower base, only people from Twitter search will come across your account practically (or maybe not even those, if you get ghosted from the search), so the chance of getting reported by those few is very small and what if an account/domain gets banned? You register a new one.
If you want to play this automatized @reply game, you don't really need followers, so it's not really a biggy, if an account goes poof, you don't loose much, you can easily replace it.
Twitter is not that smart, if it's a really well spun comment, i think you'll have no problems. The worst thing that could happen, if you post the same tweet with multiple accounts or the same tweet with one account over and over again, especially if you make a habit out of it, that the accs temporarily will get ghosted from the search, this last 24 hrs in most cases, however it's not even an issue for you, because you do @reply, so your tweets doesn't have to appear in the search.