Last comment relationship

It works fine for me.

Perhaps you have missed to select the relationship in the comment fields.

$view = new view;
$view->name = 'ml';
$view->description = '';
$view->tag = '';
$view->base_table = 'node';
$view->human_name = 'ml';
$view->core = 7;
$view->api_version = '3.0-alpha1';
$view->disabled = FALSE; /* Edit this to true to make a default view disabled initially */

/* Display: Defaults */
$handler = $view->new_display('default', 'Defaults', 'default');
$handler->display->display_options['access']['type'] = 'none';
$handler->display->display_options['cache']['type'] = 'none';
$handler->display->display_options['query']['type'] = 'views_query';
$handler->display->display_options['exposed_form']['type'] = 'basic';
$handler->display->display_options['pager']['type'] = 'full';
$handler->display->display_options['style_plugin'] = 'default';
$handler->display->display_options['row_plugin'] = 'fields';
/* Relationship: Comment: Last Comment */
$handler->display->display_options['relationships']['cid']['id'] = 'cid';
$handler->display->display_options['relationships']['cid']['table'] = 'node_comment_statistics';
$handler->display->display_options['relationships']['cid']['field'] = 'cid';
$handler->display->display_options['relationships']['cid']['required'] = 0;
/* Field: Comment: Title */
$handler->display->display_options['fields']['subject']['id'] = 'subject';
$handler->display->display_options['fields']['subject']['table'] = 'comment';
$handler->display->display_options['fields']['subject']['field'] = 'subject';
$handler->display->display_options['fields']['subject']['relationship'] = 'cid';
$handler->display->display_options['fields']['subject']['alter']['alter_text'] = 0;
$handler->display->display_options['fields']['subject']['alter']['make_link'] = 0;
$handler->display->display_options['fields']['subject']['alter']['absolute'] = 0;
$handler->display->display_options['fields']['subject']['alter']['trim'] = 0;
$handler->display->display_options['fields']['subject']['alter']['nl2br'] = 0;
$handler->display->display_options['fields']['subject']['alter']['word_boundary'] = 1;
$handler->display->display_options['fields']['subject']['alter']['ellipsis'] = 1;
$handler->display->display_options['fields']['subject']['alter']['strip_tags'] = 0;
$handler->display->display_options['fields']['subject']['alter']['html'] = 0;
$handler->display->display_options['fields']['subject']['element_label_colon'] = 1;
$handler->display->display_options['fields']['subject']['element_default_classes'] = 1;
$handler->display->display_options['fields']['subject']['hide_empty'] = 0;
$handler->display->display_options['fields']['subject']['empty_zero'] = 0;
$handler->display->display_options['fields']['subject']['link_to_comment'] = 1;
/* Field: Node: Title */
$handler->display->display_options['fields']['title']['id'] = 'title';
$handler->display->display_options['fields']['title']['table'] = 'node';
$handler->display->display_options['fields']['title']['field'] = 'title';
$handler->display->display_options['fields']['title']['alter']['alter_text'] = 0;
$handler->display->display_options['fields']['title']['alter']['make_link'] = 0;
$handler->display->display_options['fields']['title']['alter']['absolute'] = 0;
$handler->display->display_options['fields']['title']['alter']['trim'] = 0;
$handler->display->display_options['fields']['title']['alter']['nl2br'] = 0;
$handler->display->display_options['fields']['title']['alter']['word_boundary'] = 1;
$handler->display->display_options['fields']['title']['alter']['ellipsis'] = 1;
$handler->display->display_options['fields']['title']['alter']['strip_tags'] = 0;
$handler->display->display_options['fields']['title']['alter']['html'] = 0;
$handler->display->display_options['fields']['title']['element_label_colon'] = 1;
$handler->display->display_options['fields']['title']['element_default_classes'] = 1;
$handler->display->display_options['fields']['title']['hide_empty'] = 0;
$handler->display->display_options['fields']['title']['empty_zero'] = 0;
$handler->display->display_options['fields']['title']['link_to_node'] = 1;
/* Filter: Node: Nid */
$handler->display->display_options['filters']['nid']['id'] = 'nid';
$handler->display->display_options['filters']['nid']['table'] = 'node';
$handler->display->display_options['filters']['nid']['field'] = 'nid';
$handler->display->display_options['filters']['nid']['value']['value'] = '212';
$translatables['ml'] = array(
  t('Defaults'),
  t('more'),
  t('Apply'),
  t('Reset'),
  t('Sort By'),
  t('Asc'),
  t('Desc'),
  t('Items per page'),
  t('- All -'),
  t('Offset'),
  t('Last Comment'),
  t('Title'),
);

There is a reason why you should always try to export a view in the issue queue :)