Sounds like a bug.
Can you post a new ticket on Trac?
https://trac.buddypress.org/newticket
Login with the same credentials you use here on bp.org.
Anton, you aren’t by chance using this plugin, are you? https://wordpress.org/extend/plugins/bp-include-non-member-comments/ I have heard from some people that they’re having the problem you described, though I can’t for the life of me reproduce it myself.
I am having this same issue and I am not using the plugin. 
This sounds like a potential bug. Please log it in trac.
I too have this same issue. It’s causing me a lot of problems!
Anton
@antonrsaopencirclecoza
14 years, 1 month ago
Running on wp single 2.9.2 and bp 1.2.2.1, I have set the discussion settings to “Comment author must have a previously approved comment” on the discussion settings of WP so that I must approve the comments from the blog first before they are made public.
If a registered member posts a comment, the comment doesn’t display on the blog because it has to be approved first but it adds the comment to the activity stream so if users click on the comment from the activity stream, they are taken to the blog post where the comment isn’t visible because it hasn’t been approved yet.
Is this a bug? Is there anyway to prevent this?