As it seems that anonymity of votes is a primary concern for many people, and my original request was going in the opposite direction, I am amending it to ask for freedom of choice.
Also, a proposed alternative addressed this problem, but it turns one that the same functionality is already implemented, in a way.
But the point is that on StackOverflow right now there are 92k+ close vote reviews, and go take a tour and see how many times close vote are casts as "offtopic" or "too broad" or "add a code snippet" and no comments are present (disclaimer: this is my experience in doing reviews, i did not run a query against http://data.stackexchange.com, also because there is no column in the Posts table for the reputation of the users at the time of posting).
So my amended feature request is:
can we get an additional button ("vote and comment") or a checkbox ("add a comment") beside the "vote to close" button in the vote dialog? So that, when it's clicked (or checked), a comment containing the reason the close vote is cast for, is automatically added to the question.
Automatically add a comment containing the reasoning, when voting to close a question
This may have been requested in the past but I could not find it.
When voting to close a question as a possible duplicate, a comment that links to the candidate question is generated and posted:
When voting to close a question with a custom reason, the custom reason also gets posted as a comment:
This question appears to be off-topic because it is about jquery
Is it possible to do the same for other closing reasons (too broad, unclear what you're asking, etc.)?
The wording of the reasons is very good and most of the times fits nicely; having comments of that quality satisfies the "be excellent to each-other", over hand-written quick comments that might become too aggressive or hilarious, and it's obviously better than voting without leaving any comment.