Where is the comment notification when anonymous users send a comment? I don't find any notification in dashboard, or other pages to approve comments.
The list of unapproved comments is on admin/content/comment.
Unapproved comments are the comments left from users without the permission of skipping the comment approval, which is given in admin/people/permissions.
In the site where I took this screenshot, authenticated users are allowed to skip the comment approval, which means that any user with an account is able to write a comment without it gets approved before to be visible to every user.
If you want to receive an email notification when the anonymous user posts a comment, you can use the Anonymous Publishing module.
This module can be set up to send e-mail to administrators when anonymous content (inclusing comments) is created.