The calibre viewer only does bookmarks. You can't add comments to them.
With ADE you can add annotations. These are not stored in the book but a separate file.
Most ereader devices have a way of taking annotations. But, as theducks pointed out, they don't tend to support copying them between devices. The Kobo devices I have don't support this. But, they use ADE to read epubs and store the annotations in a file like ADE on the PC. I have manually moved these files between the devices and, with a bit of playing, gotten ADE on the PC to read them. I don't know if other ADE based ereaders do the same.
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