I've enabled it for the first time, but I get nothing in the e-mail. What am I doing wrong? Which file/function controls it? Keep I mind I don't mean already approved comment notifications.

Is it supposed to be sent to the site's e-mail?

Thanks!

After a lot of study, I've deduced what I kept telling myself was impossible - the new comment moderation feature was never designed to send notifications! In other words, the usual comment notifications feature was never adapted to also start covering moderated comments.

But fear not, I've already submitted a patch that enables notifications for new moderated comments. It sends them to site_mail just like any other notification. Of course, it only works if you enabled comment notifications in general (don't worry, it'll only notify you once).