Hello,
There was a recent update to MS Word. The update was "Pushed down" from Enterprise/Admin. I am now using Word for Microsoft 365 MSO (Version 2302 Build 16.0.16130.20806) 64-bit.
Previously (before the update), I was able to insert PDF files into comment bubble. I do this by selecting a word and then right mouse click and select "New Comment". Then i would place my cursor in the comment box and go to "Insert" and then "Object" and "Object" and "create from file" and check the box for "Display as icon". This action was possible before the update.
After the update to Version 2302 Build 16.0.16130.20806, i could no longer do this. However, all the PDF which as embedded into the comment previously using the method described above is found in the "Revision" pane and I can double click to view. However, I cannot repeat the same process of inserting object.