I think the last step is missing, but I could not find where it is.
By tracing the component code, I saw that I need to add an entry to jos_comment_setting table, but if I add one, the ID #1 is assigned, and that ID was reserved for com_content object, caused of this lines in library.comment.php:
function getComponentList($set_id=0)
{
$list = array();
if ($set_id==1) {
$list[] = JHTML::_('select.option', '', 'com_content');
} else {
If I force the ID to be other number, the page breaks completely, only the header of the component administrator is shown with no styles. Neither the Joomla menu is shown in that case.
In Joscomment administration I have 6 menu options: Manage comments, content settings, import comment, other components settings, JoomVertising and about. In other components settings only com_content is feasible to be configured.
Where is the New option you are talking about? Please see the attached screendshot.