I have no problem at all with JoComment and sh404SEF. The links arn't *completely* SEF-translated, but everything works fine.
I have an Apache server and am using .htaccess enabled mod_rewrite method. Make sure you setup the sh404SEF component fully by modifying your .htaccess file too as described in it's documentation.
I also installed sh404SEF as the very first thing on my site, before any other extensions. I also have anti-flood set to period 10/requests 10 which I find is a good trade-off between false blocking but still protecting from phreaking and DDoS attacks.
EDIT: Ignore my entire post - I didn't realize this was a problem with the
Module