As Melanie mentioned, it is not directly possible. However you can set up one or more links in the lesson, that will open some other activity for making the comments in. Could be a link to a forum, a database, or even Hot Question setup for comments. I like the Hot Question, as students can "vote" on/for other entries and it can be used in class or 24/7. (Note: I maintain Hot Question.) Another possibility, depending on your version of Moodle, is iContent. Use it instead of a lesson for creating content that mimics a slide show presentation. It has commenting built in. Both public and private, plus it can use some, not all, types of Moodle questions.
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Comments in lesson
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