I'm going to bump this yet again as it seems to be still present in WP 2.0 and now 2.0.1.
I have WP 2.0 and the e-mailed new comment notification DID work for the first couple of week, but the mysteriously stopped.
I wondered if it might have something to do with the SpamKarma 2.1 plug-in so I've e-mailed the creator Dave, and he is checking into it. I doubt though that it is related to the SK2 plug-in though.
I'm at a loss. I really miss this functionality. Where are all the really smart people who can fix these things (god knows I'm not one of them!)?!?