When you copy or duplicate an event, event details (time, date, description, attachments, custom field contents) are included on the copied event.
Event comments are different:
This distinction is purposeful. In most use cases the comments are relevant to a particular instance of an event. You can copy or duplicate all other event details as needed, while keeping discussions and documentation in the comments attached to only one event instance.
If you are keeping notes that you want to include in copied events or all events in a series, consider using a formatted text field. A formatted text field provides rich text editing and visibility control.