TL;DR, yes, there are notifications for that.
I'm replying in a new note because I can't reply to yours. For some reason the note itself didn't make it to my timeline, and I saw it through @jrobb's comment. I get the 'no original post' error when trying to reply there, so...
My reply was:
Notifications for comments come as popup notifications of "new activities" in the Meanwhile feed. There are several reasons why an activity might be highlighted. A comment in reply to one of your notes is one of the usual examples.
In the default configuration for notifications, this is how this works. You can enable popup notifications for more things, in the Configuration dialog, but that can get annoying.