Comments added in the target segment are not saved in the target file.

For the comments to be saved in the target file, you have to do the following:

1. Go to File > Options > File Types > Microsoft Word 2007-2019 > Common (for example, but the same procedure works for every file type that support comments)
2. On the right, enable the Retain Studio target comments in target file, then click OK. Selecting this option will ensure that all new projects have this feature enabled, and target comments will be present in the final target file.
3. For an In Progress project, take the same steps from Project Settings > File Types > Microsoft Word 2007-2019 > Common.

The default for this option was changed across all file types which support comments, as there were more users preferring not to have the comments in the target files, than those that did want them.

This change was implemented starting with Trados Studio 2021 SR1 CU5.