Hello Stefano,
I believe there is some confusion. This is not a bug. This particular settings
http://screencast.com/t/XDPsPb7C that you are referring to are only used to enforce users from selected groups to receive notification regardless if they receives the email system. In other words, if you selected "Super User" group for all 4 occasions, whenever a new user posts a new comment, new reply, pending comment or reported comment, users from the "Registered" group will receive a notification.
Hope this will help.
Thanks.