You dont have to mention your keyword in your comment but you should/could replace your name with the keyword.
If you have 20k backlinks with no anchor text and i have 1k with anchor text i might outrank you since i am "connected" to this keyword more times than you. It is not the rule of course and on Page Seo plays a role in this too but anchor text in every link is quite significant.
When i started building links i used anchor about 30-50% of the times. Now when i blast, i blast with anchor and when i post manually in high pr moderated blogs with no spam, i use nicknames.
To be honest, i would not mind if someone had posted a nice comment with his anchor text in my blog. I would not approve it if it was about viagra or any other pills whatsoever
My intuition says that if the moderator does not want to approve your comment, he wont regardless of anchor text. If he wants he can simply replace the anchor text with "mike","ross" etc. Its all about the comment itself providing that the anchor you use is not "come on baby " and you want to get approved in a edu blog with 3 comments.
All of the above, are the way i see it and the way i see it "what would work most of the times for my own benefit"..