I'm not postive about this because you didn't include many details about your environment, but it sounds as if you're not working in an environment that includes Adobe Acrobat, which is usually integrated with Frame. (For instance, within the Tech Comm Suite.)
I think, but I'm not positive, (again, because I have TCS, not just part of the kit), that Acrobat is necessary to fully enable this feature.
If you also have Acrobat 8 or 9, you may want to either enable the PDF for commenting by Reader, or use Acrobat to set up a shared review.
If you don't have Acrobat, you can download a 30-day evaluation copy, which should give you all the functionality for long enough to decide if it's worth buying.
Art