Embleton,
I'm an admin, too, and you're right. I've got a few details to add.
One of my colleagues is reporting this issue, as well. For them, the vanishing comments in SpeedGrader subsequently prevented them from reassigning the assignment.
That is, SpeedGrader saw and registered "no comments", so kept the [Reassign] button disabled.
The full set of comments for the assignment was downloadable within SpeedGrader's link at the bottom (as a PDF).
Students could see the feedback comments when they viewed the assignment after grading.
Instructor could see the feedback comments in the same way you described, Embleton: gradebook -> cell containing grade -> arrow to open tray -> view feedback.
Instructor's settings are for automatic posting.
The assignment was a group assignment; the problems occurred for students who are not assigned to a group.
This is not browser or device specific, as I also cannot see the comments.
~Paula