The way you add comments in SSRS queries should be similar to adding comments in sql queries.
I found this link for you: https://qawithexperts.com/article/sql/sql-comments-comment-in-sql-query/410.
I did a simple test and these comments can be saved.
If the answer is helpful, please click Accept Answer
and Up-Vote
for the same. If you have any questions, please feel free to let me know.
Best regards,
Aniya