prerequisite: have some comments approved already, others in state new
1) Go to Content->Comment
2) try to filter by Approved comments
It seems to be impossible to Filter the comments by categories.
1) the combo-box selection is defaulted back to "Select Status"
2) there is no any button triggering the filtering, once you select certain category (e.g. "Approved", "New", etc) in Show ection of Comments management
snapshot is attached