It happened to me several times that a comment I made was no longer there after a question was closed as an exact duplicate. It is hard for me to tell what exactly is going on because I can't see or reconstruct the comments anymore, but it seems that the mere mentioning of the word "duplicate" in a comment causes the engine to remove the entire comment as soon as the question is closed for duplication. I don't think this is the desired behavior, since any added content beyond the auto-generated comment could be useful for later visitors or the OP even after the question is closed.
I don't know if the moderators can see deleted comments with their tools, but if so, here's an example, here's another one and here's one on meta where it happened.
So my questions are:
What exactly is going on and can this be corrected? If this is the desired behavior, what's the rationale behind it?