How to export comment fields (or other settings) with Features?
I Managed to do this with the help of the Strongarm module.

In the variables table there are fields like: 

comment_xxxx_xx_[content_type_name_here]

for example: 
field_bundle_settings_comment__comment_node_my_content_type
comment_default_per_page_my_content_type
..etc

I just selected all of them. It would be better of course to work out what is stored where.

Also in Features in field instances I found fields like:
comment-comment_node_my_content_type-comment_body
..

In Features field_base I found something called comment_body

Exporting those seemed to be everything. 
(Not too convenient to hunt fields and whatnot and maybe miss something..)