Is keeping only the OP's comments the normal behaviour?
There were a few links/pointers that should have been of interest for this question (I thought they were not sufficient for a full answer), and it makes his comment sound a bit awkward, since he's answering mine.
I've reposted a slight variation of my initial comment. I've noticed that the second comment had disappeared, but I'm not sure whether the OP deleted it or if it was someone else.
The overall question, it seems, is that when the comment contains a link to another question (or something else) on the site where the question is to be migrated, the comment is deleted altogether.
I understand it makes sense to delete a comment that says:
Voting to migrate to [ServerFault](http://serverfault.com/)
Voting to migrate to ServerFault. By the way, this is similar to http://serverfault.com/q/314874/47187 and ...
http://serverfault.com/q/314874/47187 is the same as
http://serverfault.com/ sounds like a bug.