If moderators can view and undelete comments, can we see comments we've deleted? We can see our deleted answers, but why not our deleted comments?
Moderators need to be able to see deleted comments so that they can respond to complaints and reconstruct arguments / detect trolling/harassment/rage-quitting. Sadly, all of this is common enough that it required additional tooling to support.
Moderators don't actually need to be able to undelete comments... However, it makes comment moderation much, much faster - particularly when a handful of constructive comments are buried deep within a long, tangential or argumentative thread. Yup, that's right: it's often faster to delete everything and restore a handful of useful comments than it is to delete only the cruft.
Note that moderators cannot undelete comments which were deleted by their authors.
For most intents and purposes, deleted comments are gone - you should try your best to put anything of value into an actual answer. As you note, you can view your own deleted answers, as well as their revision histories and such - if you need or want that functionality, use answers rather than comments.