For example, if you were me, you could go to https://tex.stackexchange.com/users/recent/1189?StartDate=2011-02-18&EndDate=2011-02-18 and see a recent comment by Martin Tapankov on his self-nomination which was addressed to me. But, instead of a link to that post, you would see ... well, nothing. (It just says "commented on ".)
It seems that candidates itself do not get notifications for comments below their nomination posts. I at least didn't got one.
I got now one for the second comment, but like the OP said, their is no hyper-link or any other reference that this comment is about the nomination page. It just says "commented on" and then nothing.