One of my production blogs (this one, actually) was not sending alerts about comments. I have set up several blogs using CKS EBE, and fortunately I was able to use another blog to debug it. The Contact Email value in Blog Settings is not enough, and in fact has nothing to do with it. You just set up a normal SharePoint alert for the Comments list.

• Navigate to the Comments list > Actions – Alert me
• Change Type - New items are added
• Send Alerts for These Changes - Someone else changes an item

If you have not done so, SharePoint prompt you to set the email address for your login account. Easy enough, but I'll probably forget this the next time it happens if I don't note it now.