I just tested this in a fresh WordPress install and it works as expected, any Embedly sites I have activated automatically work in comments as well.
When you say "non-oembed sites" I assume you're talking about sites that aren't in WordPress' oEmbed list, but are in Embedly's. If you mean sites that actually have no oEmbed support at all, then that's a much harder problem. In short, if a site doesn't have its own oEmbed support you either (1) can't oEmbed it or (2) have to make your own.
It might be helpful if you could give an example of a site you're trying to use, but can't.