Why I can't unpublish new comments?

Hi! I'm trying to do a simple rule which unpublish the comment in certain conditions but I found out that it will not save the comment with unpublished status.

This may be a major bug? Or is it just me? :)

My rule:

{ "rules_unpublish_comments_with_untrusted_urls" : {
    "LABEL" : "Unpublish comments with untrusted URLs",
    "PLUGIN" : "reaction rule",
    "TAGS" : [ "wot" ],
    "REQUIRES" : [ "rules", "comment" ],
    "ON" : [ "comment_insert" ],
    "DO" : [
      { "data_set" : { "data" : [ "comment:status" ], "value" : "1" } },
      { "entity_save" : { "data" : [ "comment" ] } },
      { "drupal_message" : { "message" : "Comment containing untrusted URLs. It will be accepted shortly by moderators." } }
    ]
  }
}