Comments are stripped from the Word file when you place it in InDesign. So to preserve them, you'd have to convert them to something that InDesign recognises (footnotes, endnotes, index markers). Don't know if that's possible -- you might need a Word macro for that (if it's possible at all).
Thanks Peter, I suspected that. Thanks for your suggestions, I will find a workaround. And thanks for the GREP-book which I bought recently. Tom