I developed a wordpress website for my client. Today, I found my client didn't receive email notifications for new comments. I checked and found I didn't update his email on General Settings, instead, I muddled up with the email on User->Your Profile, where I wrongly thought the notification would send to.
To be summarized, to receive email notifications for new comments:
1. Update your e-mail address at Settings->General->E-mail Address
2. Check E-mail me whenever Anyone posts a comment / A comment is held for moderation at Settings->Discussion
Hope it helps.