Comment moderation is available to administrators of your Facebook Application. You need a Facebook Application for your site for comment moderation to work. If you don't have an application, which you may not have created if you don't want to allow Facebook authentication and other features, that's ok... there are other ways to get moderation to work, but it takes a little more effort. If you don't have an Application, let us know, and we can help you with those steps.
It also doesn't matter if the user is a administrator of your Joomla site, just so you know.
To get moderation to work, you need to be logged into Facebook.com with an account that is an administrator of your Facebook Application. Then, when you navigate your site, JFBConnect will notify Facebook of the Application ID. Facebook will then determine if you are an administrator and add extra settings around the comments to allow for Hiding some comments or 'boosting' them.
If you still can't see the moderation tools, you can use the Facebook Comment Moderation tool, where you can see all the comments for your site:
developers.facebook.com/tools/comments
Finally, if nothing is working for you still, please post (or Private Message) a URL where we can see a comment box. From there, we can check that JFBConnect is doing everything properly and determine what may be going wrong.
Thanks,
Alex