I have used the filter editor on https://api.stackexchange.com/docs/comments to create a filter for fetching comments. From the default settings, removed all badge_count and shallow_user, and for comment removed all but body_markdown, comment_id and post_id, so that it becomes:
This gave me the filter id !SWJ_BpB*hHK7nr(.5W and the following URL: (can't link as URL because it contains a ( which screws things up with markdown)
https://api.stackexchange.com/2.2/comments?page=1&pagesize=100&order=desc&sort=creation&site=stackoverflow&filter=!SWJ_BpB*hHK7nr(.5W
When using this filter to retrieve the recent comments with the URL above, I do not see any body_markdown in the retrieved comments.
If I edit the filter again, and also add body for the comments, I get both body and body_markdown in the result.
Conclusion: body_markdown cannot be retrieved unless body is also included in the filter. This seems like a bug. I am only interested in the markdown, so why do I need to get the body as well to be able to see the markdown?
filtertags here on Meta.