I misspelt my name wrong on a couple of posts and it wasn’t linking. but now I have corrected it. My name is not linking now on a fellow bloggers sight , not wordpress hosted, that was linking before. It is working fine on wordpress blogs.
I’m sorry but this isn’t a wordpress issue. Provided the other non-wordpress blogs you are commenting on allow you to enter your username and the URL for your blog, and the blogger does not remove the blog URL, then your username will be linked in those comments.