On Fastmail, at least, this isn't a big issue. For a catchall account, if I reply to an email[0] it automatically addresses the reply as from the alias. It is editable in place, too, in case I want to give it some other name.

[0] In their webmail client, of course

But why would you not be able to reply with the aliased email? I do this regularly. Of course your mail client needs to support this, but using Mutt this is absolutely no problem (just change the FROM header) and I have heard from other users who use Thunderbird that they can also create new identities (just not as easy on the fly). In fact I wrote a small script for Mutt that would automatically set the correct sender if I reply to an email that contained a wildcard. Works pretty well.

Can you not reply from a user+foo@example.com alias? I use the catchall approach (so just foo@example.com when signing up for foo), but if I need to email customer support I'll just send the email from foo@example.com. I've never tried that with a + in the account though to see if my client supports it.