Hi @Jill_Buchan and welcome to the Forum!
What you are saying is correct, at the moment our CSV and PDF options don’t include comments.
One option to export a Project including comment could be via our API (https://asana.com/developers/api-reference/tasks#stories
You could also try bridge24.com/asana integration, where you can export your tasks, subtasks, comments and documents to Excel or CSV.
I hope this helps! Have a nice week!