Yes, I've just switched to Word 2016 at my university job. This is very frustrating. I used the referral to comments numbers as in the question here routinely in comments on student work. Using paragraph numbering is clumsy and not very helpful.
The numbering needs to come back
I agree that using paragraph numbering is a bit clumsy; after all, it is a workaround (which has been required since comment numbering was re-designed in Word 2013).
Doug's macro from 2017 does a better job:
Sub NumberComments()
'Macro created by MVP Doug Robbins, April 2017
Dim i as Long
Dim rngComment as Range
With ActiveDocument
For i = 1 to .Comments.Count
Set rngComment = .Comments(i).Range
With rngComment
If Left(.Text, 7) = "Comment" Then
.Text = "Comment " & i & " " & Mid(.Text, Instr(.Text, "-"))
Else
.Text = "Comment " & i & " - " & .Text
End If
End With
Next i
End With
End Sub
The macro can be run repeatedly to update the numbering.