Right now, the only reason to subscribe to notifications of new comments is to actually comment yourself (yes, the administrator and article author must do it too) and set the E-Mail notification option while making the comment. We are due to improve this notification system for a new release...
...I have encountered failed E-Mail before in Joomla, it seems many servers don't work well with the php mail send function (or JoomlaComment has a bug in that part). But the good news is, you can change the E-Mail method in Joomla Global Configuration to from php send mail to SMTP - fill out a username and password and smtp server for your webhost - and this will let not only all E-Mails from Joomla to work, but it is also usually a lot faster.
For more information, see the relevant Joomla documentation here -
help.joomla.org/content/view/51/68/1/7/