Wouldn't that NFT point to a comment on a central service though? Or would the NFT contain the actual comment itself?

Is there a difference between buying a "comment on HN" and the text of that comment?

Checking the Opensea API: https://docs.opensea.io/reference/asset-object

NFTs require at least one of two centralized services to remain functional - the original URL and the Opensea cached URL. So proof of ownership is decentralized, but the actual image is not.

People make this mistake because they think there is a "function" part to NFTs. It's a ledger, and you want to remember what media an entry refers to. You can do that by just keeping it in your community's collective memory, or you can use a hash of the file, or both.

People can then choose to value that ledger entry, or not.

Everything else, such as the ability of n app to figure out an image URL for the NFT, is just sugar on top.

NFT people will value a Bored Ape token whether the URL is valid or not - and they are entirely right to do so. The Cryptopunks don't even have a URL!

Depends on whether the NFT is on-chain or off-chain. Both are valid.