When reading and updating Excel 2003 file comments are not saved if the sheet contains collapsible columns. The comment does not have to be on the collpasde columns, any cell in the sheet does not persist the comment I've inspected the code to the point of get the ByteArray from the workbook and the comments were still present. Other sheets in the same workbook without collapsible columns work fine.
This problem should be fixed in trunk. Please try with a nightly build - see download links on http://poi.apache.org/ or build yourself from SVN trunk, see http://poi.apache.org/subversion.html