Notification for "Comments on items you were involved in"

Hello,

Please see the screen shot of the activity stream update and comments.

The user that left a comment on a post - "Jonathan Thompson" did not receive a notification when "Jim Thomas" made another comment on the post. The notification for the "Like" and the "Tag" worked appropriately.

I have alerts for "Comments on items you were involved in" turned on. Is there a bug or am I missing a setting somewhere?

Thanks