If you read the formatting help for comments it reads:
Comments use mini-Markdown formatting
Why isn't the full or no mini-markdown (the one that can be used on answers/questions) used?
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The purpose of comments, contrary to other kinds of posts (questions, answers, tag wiki) is transient and very specific. Its purpose is actually to improve the post themselves in the way of asking for clarifications or to point out issues with it.
For that specific purpose, you don't need too much formatting outside linking and giving emphasis. This reasoning also applies to tag excerpts, which is meant to explain what the tag is about. Questions and answers tend to need to explain a broad array of subjects and could need full formatting to present that information in an effective manner.
The above is further sustained by Robert Carantino answer to a feature request (emphasis mine):
Comments are supposed to be a bit Twitter-like; a light-weight way to add a few hundred characters as an annotation to the answer. Comments provide just enough functionality to point out issues or add any sort of mini "meta discussion" you want to have about the answer.