Comments are treated as ephemeral, second class citizens when it comes to content on Stack Exchange sites. Just getting them implemented was a bit of an uphill battle that was conceded to get people to stop writing answers as comments, despite clear instruction otherwise.
Later, they got a bit of love via voting, because conversations in comments tend to be rather noisy. We needed a way to make the useful bits (that should probably be moved into the post later) stand out.
If you want to save drafts, or alert when navigating away before saving a comment, that's something you can easily do with a user script. In fact, local storage is an ideal place to store boilerplate comments and drafts.
I personally don't see why it's necessary to alert on unload if a comment has not been saved, unless it's just for the sake of consistency. There would be instances where it would actually get in my way more than help, as I quite often tend to change my mind about leaving a comment and just close the tab instead (while moderating, one tends to have many open tabs).
I also don't see a reason to introduce a change that gives comments any more importance than they have. In fact, I'd like to see them be seen as even less important, as they are a frequent source of noise for us.