Eh, forget what I said before. The default settings defined by an admin is being saved for new users. I just created another username and checked it out.
But there is a problem - when using the quick-reply OR advanced-editor form (I just tested it) , the blogpost URL is saved to a list of your subscribed blogposts, but there is no notification for new comments.
I expected that there would appear a new item in the Notifications drop-down menu (similar to notifications about new PMs). Nothing like that happens. E-mail notification also doesn't seem to work.
Could you please verify whether that happens in your vBulletin too?