IIRC, the data dump is not supposed to include any content that has been deleted. Since I just stumbled over some deleted comments in the data dump, this suggests a bug in the exporter.
Examples of similar stories include
- comments 958129 and 958130 (deleted) and comment 958137 (still there)
- comments 1145915 and 1145920 (deleted from here)
- and more.
Now, if on the other hand this is on purpose, and the deleted comments are supposed to be in there, please turn this question into a feature request to let the data dump at least reflect the fact that a comment is deleted.