Whenever I comment on a blog and see this message, I am probably not going to comment again.
I understand the need to filter out spam, but there are better ways to do that. If an editor has to approve every comment, they are afraid of negative feedback, which is not a good fear to keep. Negative feedback is a good thing! When we are criticized, we can make positive course corrections. We just need to receive comments with an open mind.
Editor approval for every comment also makes a lot of work for the editor(s).
There are, of course, some reasonable exceptions to this.