Hi James

Thanks for reaching out. Currently we do not support this feature. If you would like to see this feature in Lucidchart please post it here in our Product feedback space.

As a workaround you can use the Note shape and those will print just like any other shape. Additionally you can put notes on different layers which can then appear whenever you'd like when in presentation mode. 

For now you can open all of the comments in Presentation Mode and take a screenshot.