I’m having this problem too — but I found this: http://codex.wordpress.org/Settings_General_Screen
If you go to the section about the e-mail address you insert in Settings > General, it claims that this is where the email for comment moderation goes. It also claims that a particular admin user only gets comment notifications when the comment happens on his/her post. I just changed this on one of my sites, so we’ll see what happens.
Hope that helps!
