I think that this happens too infrequently to make any changes for this. Just like you're sometimes not able to delete your own question, even if you'd like to, this is a situation were you cannot (easily) delete your own comments. Comments fall under the CC BY-SA license too.
If you need to get rid of some of your migrated comments, and have a good reason to do so, you can always flag them for moderator attention (which is different from the usual spam/offensive chat flags which are also handled by 10k users) in chat. Requests for deletion of own messages are not too uncommon and are usually granted.