The installation instructions to 2.0.2 say
Customize the Permalink value under Settings > Subscribe to Comments > Management Page > Management URL. It must reflect your permalinks' structure. The default is
/comment-subscriptions and its help text is
The permalink for your management page (something like /manage-subscriptions or /?page_id=345). This page does not actually exist in the system, but its link must follow your permalink structure.
This, doesn't tell what should the URL be. The default one and the suggested
/manage-subscriptions don't work: clicking the link next to the comment box of a post as an admin gives a 404 error. Clicking the
You can also subscribe without commenting. The link in the same place as a non-logged-in-user doesn't work either.