I just discovered another missing piece of feed information for comments on blog pages. The comments on blog pages are not getting their permalink set at all, neither in the feed nor on the blog. So, if a comment was made on a blog page instead of a blog post, Last Comments could only link back to the page URL and not take you directly to the comment. This should have been fixed with the new version I just rolled out; you should now be able to click on linked comments within Last Comments and be taken directly to the comment whether it is on a blog post or a blog page.
I also corrected a spelling error for those of you experiencing feed retrieval problems ("occurred"). :s
If you find something about Last Comments that you think needs changing or have an idea about how I can improve it, please let me know.