Hello,
Using LibreOffice 6.4.2.2. I just added a new user-defined format for a cell, pressed the “add” button (the 
), then I pressed the “edit comment” button and replaced the text “User-defined” with something else.
After editing I pressed that button again, and it changed the input field into a static text that seemed to confirm my comment was properly saved.
But then I added another user-defined format, did the same thing, and when I pressed the previous user-defined format it had removed the comment (it said “User-defined” again), and then I clicked the second user-defined format, and there the comment was also removed.
So apparently, these comments are not saved. The formats themselves are, though. So it’s just a minor inconvenience but thought I should report it anyway.