Eng,
You're not doing anything wrong. If you are logged into Facebook as the administrator of the Facebook Application you created, then the moderator options will be shown on the comment boxes on your site. If you log out of Facebook, the moderator options will not display. Normal users will not see the moderator options at all whether they are logged into Facebook or your site.
Setting up the users that can see the moderator options is something that JFBConnect does automatically and not something you can (or would want to) configure.
Hope that explains, but if not, let us know.
Thanks,
Alex