Well, I think "Through my control panel only" means you go to the control panel to see new comments, so you don't get any notification. But you're saying if you select email notification you never get it? Are you getting any subscription emails?
Edit: I've verified that I get an email notification for a new comment if I explicitly set the subscription type to "instant email notification". I think your forum needs to have some traffic otherwise emails don't get sent out (depending on you email settings).
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