I hid the comment help box, but on the next page load it's there again.
Same with the
Links/Images/... help toolbar in the question post page.
These two help systems are part of a new feature to streamline the help process for new users. Hiding them isn't a preference setting that is remembered - rather, it's just more of a one-time thing for the current page-load.
They'll always be pre-expanded for new users (less than a certain amount of reputation), just to serve as a friendly reminder. Once you've earned enough reputation, it'll then always be collapsed.