With Modern comments, Word flags misspellings but does not give the classic right click suggestions in-place.
As an alternative, create a tiny macro that runs the classic Spelling checker only on the Comments range. In Word on your Mac, go to Tools > Macro > Macros. Type CheckSpellingInComments, then click Create to open the editor. Replace everything in the code window with the code below, then close the editor and save when prompted:
Sub CheckSpellingInComments()
Dim r As Range
On Error GoTo Done
Set r = ActiveDocument.StoryRanges(wdCommentsStory)
If r Is Nothing Then GoTo Done
r.Select
Dialogs(wdDialogToolsSpellingAndGrammar).Show
Done:
End Sub
Run it via Tools > Macro > Macros > CheckSpellingInComments > Run. Word will open the classic Spelling dialog, step through misspellings in all comment balloons, and offer correction suggestions just like before. This skips the document body, so you do not have to click each comment or place the cursor at the end of a word.
If you like it, assign a shortcut so it is one keystroke. On Mac, open Tools > Customize Keyboard. In Categories pick Macros. In Commands pick CheckSpellingInComments. Click in Press new keyboard shortcut, press the keys you want, then click Assign and OK.
I hope this helps in some way!