Sorry to revive an old thread, but I recently had this issue again, this time using Silverstripe 3. I actually stumbled over my own thread looking for the solution, which, as I am now more experienced with both PhP and Silverstripe, I was able to answer for myself.
Here's how to use commas in Enum values by passing in an array:
'Income' => "Enum(array('Under £20,000','£20,000-£29,999','£30,000-£39,999','$40,000 and over'))"