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These links take the form of <lemmy instance>/comment/<comment number>; but the links don't include the post number, so they just direct to a 404.
I'll write a github issue soon.
It is useful to have this link without the post number though, as it is the one that is searchable on other instances.
But since this link without the post number uniquely determines the comment, it would make sense that it link to the appropriate post. Or, maybe even better, that it displays the comment on its original instance with a clickable "context" button.