Usually, that's a case of the URL that you're using. Facebook tracks comments by the URL that we submit with the comment. If you've left the URL parameter blank in JFBCComments, then we simply use the URL of the current page.
If you look at the page that doesn't show the comment versus the one that does (when following the link from Facebook), you'll likely see a difference in the URL in address bar. There are some parameters and values that we automatically remove from the URL that Facebook sends (fb_comment_id, etc), but other than things that are Facebook specific in the URL, see if there are other differences.
If you don't know what I'm talking about, just copy the URL of the page with Comments and the URL of the page that doesn't have comments here and we can let you know if we see something odd.
Thanks,
Alex