For horses you own, the jockey comments are saved in the "Form Summary" table at the bottom on the horse view, Summary tab. They are available as a mouse-over tooltip, when you mouse over the little speech bubble icon. If there is no bubble icon, you didn't own the horse that race, and won't know what the jockey said, which is fair enough. Picture:
You can type your own comments by hovering the mouse over your horse in any screen which lists them and hitting "N". If the mouseover says "Click to view horse Data", that is when you can also hit "N". Then a Notes: field comes up at the bottom and you enter the comment. When you have done that, a little white triangle shows by the horse's name and mouse over that to see your comment.
That is in non-race day mode. During race day you can still see both using the race day form. The mouse over for notes looks like a letter there, picture:
And from that place if you click on the horse's name you go to detailed view and can see the prior jockey notes.