There's definitely nothing in the comment notifications that says they've been screened - at least not the ones I got. I suppose that most of my frustration with this is that it *is* completely unintuitive for me (which doesn't mean that it can't work for other people, of course!) and I had a lot of trouble figuring out the new interface on the spam comments. It took me awhile to realize, for example, that the circle with a line through it meant "mark as not spam"; I assumed it meant "delete" and didn't want to press it.