I have just seen a questions that looks like a duplicate (already had 3 close votes) but as it has a lot of “upvoted” comments, the comment about the possible duplicate was hidden.
Since the close vote tally is visible, and there's obvious discussion on whether to close it or not, those that are interested are probably going to either check the comments, or click close and find out why people are voting to close. Either way, it's easy to find for those that want to know, and I'm not sure than making the possible duplicate comment sticky is going to alter the situation, though it would be quite a bit of work.
Keep in mind that once that comment is added, the link will show up in the right hand sidebar under "Linked" so the link itself will still be visible, and anyone who has read through the question and still needs more info is likely to peruse the links and related questions in that sidebar.
Further, it causes a possible game scenario - that comment is editable by the person who first closed as duplicate for 5 minutes. If I wanted my comment to be seen in a post with heavy discussion, I could mark a duplicate, make my comment sticky even though it's not highly voted, and then edit the comment with what I wanted to say, rather than the bogus possible duplicate notice.
Lastly, are there that many questions with this problem? It seems that it would be relatively rare.
All things considered, I'm not convinced there is a strong need for this feature.