If you use MT with MySQL and you also us PHPMYADMIN, you can easily move comments by editing the "comment_entry_id".
Go to your database and find the table "mt_comment" and then "browse" that table and find the comment that you wish to move.
Click "edit" to open the interface to edit that comment, and look for "comment_entry_id". Be sure you know which ID number you want to save it as. Be sure to carefully do this, and click "save" when you are done.
Now go to your weblog, and choose "Edit Entires". Find the two different entries you've just worked with as related to moving the comment from and to:
1. The one that the comment was moved out of: open the Entry and choose "PUBLISH" "SAVE".
2. The one that the comment was moved to: open the Entry and choose "PUBLISH" "SAVE".
The comment should now show up properly under the Entry you wish it to.
This would be nice to have as an option inside of MT, but since it's do-able the way I have stated above, it's alright. This way is actually better perhaps, since you really will want to move that comment, it's not a light motive, it's a heavy one.

Sue