The comment may not have been written to the programmable controller.
Or, the comment display setting may be required on the GX Works2 side.

[Writing a comment to a programmable controller using GX Works2]
･ Setting a comment capacity
　On the Project view of the Navigation window, select "Parameter" → "PLC Parameter". Click the "Memory Capacity" tab, and set the comment capacity in "Comments Capacity". ("1" block, "50" points)
･ Writing a comment
　Select "Online" → "Write to PCL" from the menu. Select "Global Device Comment", and click the "Execute" button.

[Setting comment display on GX Works2]
　Select "View" → "Comment" from the menu.