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Ah, indeed they are. I would say that is not great UX and there's a useful feature request here to offer a saved comments view separate from the saved posts view, which is a feature in Jerboa and liftoff at least.

Oh thank you - seems they are there; I just didn't expect the saved posts and comments to be mixed.

However, I think I was initially convinced that they were no under Saved because when I sorted by "new", I did not see the recently created comments i had saved at the top. I'll test this out again to double check.