Comments aren't slide components, so they won't show up in your presentation.
If you want the contents of a comment to show up on a slide, you would need to
copy and paste the text into a text box on the slide.
Comments added in PowerPoint 2002 and later are not shapes the way comments in
earlier versions are. Old-style comments (those added in PowerPoint 2000 and
before) seem to show up in slideshows, though.
Here are a couple of ways to convert new comments to old: