PDF’s generated with
pdflatex, the pdf generator for LaTeX documents which is used by default in LyX, cannot be commented on directly through the use of Adobe Reader alone (currently as of version 9). See http://www.tug.org/pipermail/pdftex/2008-August/007802.html for a good explanation for this. To enable this feature using only Adobe products you need to run the generated PDF through Acrobat Professional (which costs) and specifically enable commenting. This makes reviewing documents electronically impossible by using just the free tools that Adobe provide.
Luckily there are some great alternatives. I’ve used Foxit Reader and PDF-XChange Viewer in the past and both allow you to comment directly onto PDFs, whether or not the document has commenting permissions enabled in the first place. Any comments you add are portable and can be viewed in Adobe Reader as a bonus.