There are different circumstances where you may receive an email when someone adds a comment and you can control each scenario independently.
As the creator of a KPI, Budget or Automation you will notified of any comment left, to turn this off uncheck the "You're the creator of the Job/Insight".
When adding a comment there is an ability to mention a user, and by doing so will trigger an email notification to be sent. Unchecking the "Someone mentions you" will disable the email notification.
When you are mentioned or add a comment you will automatically be added the Watch list of that item. You can stop this by unchecking the "You're watching the issue".