Thanks for checking on that, Mark, because it made me look again. You are right, it did say the setting on the main comment page. but it was confusing.
2 of the 3 radio buttons were disabled, but the note was only written next to anonymous:
* Anonymous- this user has disabled anonymous and non-friend posting. You may post here if (member name) lists you as a friend.
* OpenID
* Logged in user: kdlb [other] (will be screened)
So since I had the radio button next to "logged in user", I assumed only that would apply. And "will be screened" made me think it would be moderated, not rejected when I commented.
Overall, seems like if I'm not allowed to comment, the comment box shouldn't show at this point. :)