They might show in the data dump, right? That might be used for different formatting.
And even when they are never rendered, I still find them useful every now and then, especially when including inline links to other questions that might have dots or question marks in their titles. Enlarging the edit box in my browser, and using new lines, makes things slightly easier to read. Like:
See [How does the comment system and comments work?](How do comments work?How do comments work?) Or [How to use formatting in comments?](How do I use formatting in comments?How do I use formatting in comments?) (But that's just my opinion.)
Versus:
See [How does the comment system and comments work?](How do comments work?How do comments work?)
Or [How to use formatting in comments?](How do I use formatting in comments?How do I use formatting in comments?)
(But that's just my opinion.)