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 ".)
closed as too localized by Loop Space, Joseph Wright♦ Mar 22 '11 at 7:11
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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.