Note: Moderators can, currently, undelete any comment. However, the ability to do so is, for some comments, only exposed in the stock user interface when looking at all comments made by a user, rather than when viewing deleted comments on posts. That user interface shows only a list of the user's comments (i.e. it doesn't show any of the context surrounding the comment).
Moderators should have, and already do have, the ability to undelete any comment
That doesn't mean that undeleting a comment should be done without thought and due consideration for the author, the community, etc.
Moderators are exception handlers. Not having the ability to undelete some comments means that there's a set of comments, which can be identified by a program written in advance, which will never have an exceptional situation occur where undeleting those comments is a good option. In my opinion, it's not possible to identify in advance a class of comments which will never have an exception.
Moderators are expected to exercise judgement in their actions. That an ability exists doesn't mean that it should be used for no reason. Moderators are elected specifically to exercise their judgement as to what is best to do in situations which can't be programmatically determined in advance. Thus, moderators should be given the ability to exercise that judgement (i.e. should have the ability to undelete all comments).
As with all moderator actions, there is always the option to appeal to Stack Exchange's Community Managers if there is a belief that the moderator's actions were inappropriate.
A sticking point for many people is the undeletion of comments deleted by the comment's author:
Moderators currently have the ability to undelete any user's posts. They exercise judgement as to what is best for the community when considering if a post should be undeleted. This includes weighing the author's clear desire to delete the content balanced against the content's value to the community. Comments are, to a significant extent, quite similar. It is, however, much more rare that a comment's benefit to the community would outweigh the author's desire to delete it. However, particularly on Meta sites, where significant discussion happens in comments, there are entire discussions which could become quite difficult to understand if a user chose to delete all of their comments. While a large portions of those discussion can, and should be, handled by just deleting the other comments which are now difficult to understand, it's impossible to say that there will never be a case where the best choice for the community is to undelete the user's comments, potentially editing them to remove an unnecessary portion which was what the user was primarily concerned about (but couldn't edit, due to the 5 minute limit on editing).
As with all content which is contributed to Stack Exchange, users don't have a right to delete it. That they don't have that right is very explicitly stated in the Terms of Service. They've contributed that content to the community. In some cases, the community's interest in the content outweighs the user's desire to delete it. Judging when that may occur is something only a human can do, which is one of the things moderators exist to do.
Right to disassociate themselves from content:
Under the CC BY-SA licenses, people have the right to request that attribution to them be removed from the content which they contribute (a process commonly called "dissociation"). The ability for users to be able to make such requests and have the requests acted upon needs to be maintained. However, requesting dissociation is substantially different than just deleting the content. Just deleting something definitely doesn't automatically indicate the user's desire for dissociation.
For other content (i.e. questions and answers), users can use the "Contact/Contact Us" link at the bottom of every page to request dissociation. Some people also use the unofficial route of raising a flag to request that happen, which moderators can escalate to the Community Managers. There's no reason that a user can't already use the same process to request dissociation from their comment.
Current technical limitations:
Unlike questions and answers, the system doesn't have an automatic method to allow Community Managers to remove the user's name from association with a comment. As a result of that lack of capability, when dissociation has been requested, a very, very rare thing, the comment has just been deleted, presumably by a Community Manager. Unfortunately, just deleting the comment doesn't actually comply with the CC BY-SA license, because the content is still distributed to some people (moderators) under some conditions (note: showing moderators the associated comment may be valid under other licenses granted to Stack Exchange for the content in some versions of the Terms of Service). So, if there is going to be actual compliance with CC BY-SA, then the technical capability to actually dissociate the user from the comment needs to be developed. However, this current technical limitation doesn't mean that moderators should be unable to undelete the comments where dissociation has not been requested.