When you comment on a profile wall, the fan whose profile it is always gets a message in his or her updates about it, but obviously they sometimes don't reply. When you comment on a club wall, only people who choose to look at the wall section see it (I think the same is true for personal clubs).
Yep. I sometimes forget to check my wall and see a comment only after few days. If you need to reach someone, you can try writing on wall and also pm them