I hear you. Truth is it probably isn't just a setting. Notifications have been a problem consistently since day one. I finally started getting notifications of comments but could only ever get it to work via the associated business page. So if I wasn't sitting in Facebook all the time or didn't enable email notifications for business page comments I'd never know. In some case (when I was really busy) I might not get back to an FB user for a month or two just because I didn't know they'd left a comment. Even when I got it all working it didn't work all the time. Facebook would block comments for no reason so I'd constantly have to check the moderation screen to see what was gummed up in there. Keep in mind, if it does get blocked you get zero notifications...
Here's my problem with this: Facebook comments on your site do a great job of increasing interactions. I'll give it that. But it does a terrible job supporting your interactions with commenters. I liken it to starting out with one support line in your office. Not all the people that need support are going to get through, but those that do will be helped. Now add a new phone system that will allow everyone to get through but will only right 30% of the time. You basically are building bad support into your operation, y'know what I mean? FB Comments turned out to be the same as a phone system that only rings 30% of the time.
We're a design firm so this is a big deal for us. You, however, might have an entertainment site or something where this isn't as big a deal... Point is, in our experience, if you rely on comments to provide a service or to spur on actual conversation, you're taking a big risk relying on FB comments.
I wish you luck. It's been a long time since we messed with this so it might be better now. Can't be sure. :-)