Comments are internal messages you can make on any conversation. Only your team can see comments, so you can discuss the conversation amongst yourselves without having to forward the message around.
You can also mention a teammate using @mention. This person will then receive a notification, assuming they have their notifications turned on.
At the bottom of a thread, you'll see a comment box that says Type your comment...
To submit the comment, press enter on your keyboard, and the comment will appear in the thread.
As you can see, comments and messages will appear in the thread in chronological order.
To see all comments where you've been mentioned, click on the Shared with me section of your inbox.