In 3 WP websites I'm running, occasionally I get an email to moderate a comment, but go to the site and discover that the message has already been approved and is showing on the site. My settings in Settings->Discussion are like this:
E-mail me whenever:
[Checked] Anyone posts a comment
[Checked] A comment is held for moderation
Before a comment appears
[Unchecked] An administrator must always approve the comment
[Checked] Comment author must have a previously approved comment
I'm the only admin in the system doing this, so it's not a team member moderating these comments. I'm using Defensio for spam, and the messages are not caught there. This only happens ~sporadically~ about one out of every 5-6 messages.