This is a workaround answer, but it works for me;
Since MathJax (LaTeX) preview does work on questions and answers, for comments, I'd usually just force my own preview by temporarily abusing any existing post (say, by going to edit the question) then copy-pasting my MathJax when I'm happy with it into my comment and abandoning the edit.
Sometimes, I'd also see some typos or other issues with the post I abused for this purpose and also post corrections (re-tagging, better titles, orthography, etc.) since I'm at it anyway, so this in the end actually works better for the site than if it was a built-in editor with a preview.
A few other notes since I'm replying;
- Comments can digest (read: parse, in developer's parlance) quite a few shorthands that will save you a lot of time. Those can be found in the Comment formatting section of our Markdown help and they're easily accessible through help link right of the comment box, and then clicking on Learn more... link in the yellow box with short markdown help.
- Mathematics Meta hosts an excellent MathJax basic tutorial and quick reference. If you frequently use MathJax / LaTeX, it's the greatest thing since sliced bread.
- Grace period during which any regular member can edit their comments is, If I remember correctly, 5 minutes. If that's not enough and/or you require help with formatting, stop by in our main chat room or raise a custom flag for moderator's attention, explain what you had in mind, and we'll see what can be done about it. Alternatively, you can copy your comment's contents into a new one, delete your previous one, and gain additional 5 minutes to edit it.
- Note that most such substantial comments should eventually find their way into the post you're commenting on. It might then simply be easier on you to suggest an edit instead of commenting. If you require author's approval, please mention so in suggested edit's note and moderators won't deny or reject your suggestions without first waiting for the author's take on it.