I'm using Joomla Vr 1.5.15 and !JoomlaComment 4.0 Beta 2
Here's a screen shot to confirm the settings;

Surprisingly, un-registered members can log on and post messages, though anyone in the groups Registered and above will receive the message "Your comment has been queued for moderation by site administrators and will be published after approval"
Am I overlooking something simple here? If you want to see it happen then either register an account or use the following temporary login;
UserName: TestAuthor
Password: 123456
Site: http://digital-diy.com