As of 16th June 2025, V1.2.0 of python docx has support for comments! It's very long overdue!

from docx import Document
document = Document()
paragraph = document.add_paragraph("Hello, world!")

comment = document.add_comment(
   runs=paragraph.runs,
   text="I have this to say about that"
   author="Steve Canny",
   initials="SC",
)

https://python-docx.readthedocs.io/en/latest/user/comments.html