You have to click the link using the same browser. Some email clients try to act smart and open web pages using an internal browser.
Also, If you click the link and log in, you should have the ability to manually verify the comment.
Let me know if this helps you.
I'm getting the same problem. I've set up my own account fine, but when I try a test comment with another email, clicking the link (or pasting it) just takes me back to the post with the comment, still unverified.
See here: https://devilgate.org/blog/2020/04/25/repairability-is-good/. The "This is a comment from someone else" is me using another email address.