If you are using WordPress’s native comment functionality, then the behavior you’re experiencing is correct.
You need to download a WordPress comment email subscription plugin (like this one) in order for users to be able to receive emails for comments.
One thing you could consider is if you are running a WordPress multisite installation, you could create a new group with BuddyPress and then attach a group blog to that group with the Group Blog plugin.
Next, you could use the Group Email subscription plugin so blog comments that are made on the groupblog are sent to users in your group (provided that the user has subscribed for “All Mail” group notifications). This could be overkill for your needs, so you might just want to look for a regular comment subscription plugin here.
Hope that helps. Let us know if you have any problems with the details I described or if I am misinterpreting your problem.