By default it is not activated when you leave a comment – so you need to manually check the box under comments as you leave your comment to be notified of further comments via email.
A Word of Warning – while this feature is very useful at helping people to engage in conversation it is worth stating the obvious warning – ie that some threads here at ProBlogger get a lot of comments (some get hundreds) so subscribing to some threads could quite quickly lead to a full inbox (welcome to my world)! Of course you can unsubscribe from comments at any point – however it might be worth being a little selective!
So to those of you who have been badgering me for this feature – enjoy!