You forgot add option escape
to false
echo $this->Form->postLink(
$this->Html->tag('i', '', array('class' => 'glyphicon glyphicon-remove')). " Delete",
array('action' => 'delete', $comment['Comment']['comment_id']),
array('escape'=>false),
__('Are you sure you want to delete # %s?', $comment['Comment']['comment_id']),
array('class' => 'btn btn-mini')
);