I’ve just about given up adding comments to blogs as about 80% of the ones I’ve made recently haven’t appeared on the post after I’ve submitted them.
If you’ve got spam filters and they’re catching comments then inform the users that their comment has been identified as possible spam, if you’ve got moderation on comments then inform the users.
I don’t know how many times I’ve submitted a comment twice as it hasn’t appeared the first time (and usually never does the second time either) just to make sure that it’s not a cookie issue – as in my RSS reader I don’t have cookies enabled.
So the long and short of it, is that if for any reason a comment will not appear as soon as the user has submitted it then inform the users that you’ve got their comment and the reason it hasn’t appeared. If you’re just returning the existing page without their comment you’re going to frustrate people (I can’t be the only person this annoys).