It might also be helpful if the comment you're directly linked to was highlighted in some way in the CSS. A slightly brighter background or border or something.
I used to have this issue, but I don't have it anymore. Notifications jump to where they should; the links point to specific comment IDs within a thread. Can you list steps to reproduce it? What do your notification links look like?
My notification links look like this. I'm not sure what to say about reproducing it, other than just getting a reply to your comment.
Good catch, it seems that if there are multiple pages of comments, it won't take you there because of the pagination.
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