Comment moderation failing

I prefer to moderate all comments on my site, just so I can see them before they go live. I checked this support forum and the WP wiki and it seems what I need to do is to make sure to check off “An administrator must approve the comment (regardless of any matches below)” under the Discussion options in WP. I’ve run it this way since day one of switching to WP, yet it never seems to hold comments for moderation. I’m using the latest WP build along with the latest build of SK2. Any ideas as to whether I’m missing something obvious or perhaps something is wrong? Any help would be appreciated. Thanks!