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Hi Emma,
This is the right place to ask, but unfortunately you have come across one of the very few holes in the XOOPS notification system UI. There is no easy way to set at a global level for XOOPS to notify you that a new comment has been posted. Comments are subscribed to at an item level, meaning that you have to subscribe to be notified of new comments for every link, download, article or FAQ you have created, and for any new ones that are created in the future.
You could run an SQL script on your DB on a regular basis to manually update the notifications table so that you are set to receive notifications for all content. Other than that if you are just wanting to know when there are comments waiting for approval you could use the "Waiting Contents" block.