Behaviour of display links in views
Adding comments in Full content view mode happens, not through a link, but in the comment form that is displayed below the node (assuming it is set to be displayed in the content type's comment settings), but you need to switch on the Display comments checkbox in the Page: Row style options dialog.

You're right, Display links will print the add comment link in Teaser mode. If you have Full content mode and have both Display links and Display comments on, then you get both the link AND the form, which is akward. I don't know why it is that way.