This is still not implemented to be available out of the box.
You may attach to the event when a new comment is created though. This can be done in the Global.asax file. You should you use the appropriate Content Manager
. Once you catch the event, you have an access to the IComment item through the event arguments. Then you can send an e-mail to a person, or to a group in your Newsletters module, it is up to you to decide that. We have such examples in our forums actually. You can take a look at the following KB Article How to notify approvers when a News item is sent for approval
regarding the workflow notifications.
As for the out of the box solution, this would be ready for Sitefinity 4.0, when we will have the notification service completed.
If you enable the comments for the News module for example, you can choose from the NewsView control properties the option for them to be moderated. Then, in the News module on the left side, you should be able to see/approve/delete the comments in the same way you do it in the Blogs module.
I hope this helps.
the Telerik team