LMS Admin here, we had the same issue and found a solution.
TLDR:
The assignments were set-up as Group Assignments and tied to a Group Set. However the Group Set was not fully set-up, there were no groups in the set and no students in groups. Enabling the "Assign Grades to Each Student Individually" setting in the Assignment settings made the comments appear in SpeedGrader.
Longer Story:
An instructor reported "my student comments or comments that I make on an assignment do not appear when I am using speed grader...I have to know a comment is there and hit download comments to see it." We found that this was only happening to Group Assignments where 1) all students would be given the same grade and 2) tied to a single Group Set that had no groups in the set and no students in groups.
When students are not being graded individually in a Group Assignment, SpeedGrader will only show comments that were sent to the entire group. If a Group Set is not fully set-up (has Groups within the Group Set and students assigned to those groups) Canvas cannot identify any student as being part of any group. If a student isn't part of a group they can't send a Submission Comment to a group and SpeedGrader can't show the Submission Comment because the Submission Comment wasn't sent to the group.
The solution for current courses that already have student submissions iss to enable the "Assign Grades to Each Student Individually" setting in the Assignment settings. Once each student is being graded individually, SpeedGrader can display the Submission Comments that weren't sent to a group.