So this issue is not actually related to the VBA at all. So I'm going to mark this solved. I still don't have the full answer and will continue to try and debug, but basically if I select worksheets
Test 1
And then just do a normal print, S1 ELT Comments isn't include
Test 2
Comments work
Test 3
Comments don't work
Test 4
Comments work.
Conclusion
after a few others tests as well it appears that if S1 Project Leader is select with either Risk, Financials or Appendices, then Comments doesn't work.