Its possible and simple to do.
In templates/default/showflat.tpl
at line 8 and line 222, FIND:
{if $closed != 1 && $reply == "on"}
REPLACE WITH:
done
Now, when someone who is not logged in clicks the reply button, they will be brought to a "UBB Message" page that says they dont have access to reply here, and that they need to log in. Once logged in from there, they will be brought back to that post.