Webform submissions are content entities without Field API enabled. Comments can only be attached to fieldable entities. Webform submission data is not stored Field API, but your use case is a very reasonable example of why Field API could/should be enabled. The challenge is the UX for supporting fields, and webform elements at the same time could be overwhelming. I am not prepared to support this the core Webform module. A dedicated webform_comment.module could be created to enable Field API and might even only support for adding comments to submissions.
You are going to have use hook_entity_type_alter() to add 'field_ui_base_route' to the WebformSubmission entity.
If your content entity is fieldable, provide 'field_ui_base_route'
annotation, giving the name of the route that the Manage Fields,
Manage Display, and Manage Form Display pages from the Field UI
module will be attached to. This is usually the bundle settings edit
page, or an entity type settings page if there are no bundles.