Not sure about about which readers might support it. As a work-around, I use Calibre to make a catalog of my books and then put that on the reader. Works great for me. By default it does contain the comments for each book, and is indexed by title, author, etc, with links to each book's metadata. Of course you can change that up as desired.
There's a thread here:
https://www.mobileread.com/forums/showthread.php?t=71143