A family of Microsoft word processing software products for creating web, email, and print documents.
This is a very old thread, but i'll post here as it's the top Google answer for 'word comments not printing.' I had this problem with a couple of users and i found the problem was that if a document is displayed in the Windows Explorer preview pane comments balloons won't print. With the preview pane disabled (or if you open the document from within Word, as others suggested), it will work.
If it has been opened in the preview pane you need to open task manager and kill winword.exe if it is running in order for it to work.