"... but then, comments haven't exactly disappeared. They are well and alive on Facebook and Instagram, but why does it just feel different?"
As J said recently, "we got away from visiting the sites themselves." By living in various social and other feeds we have distanced ourselves from the original source, disconnected the conversations. The convenience offered allows us to subscribe to more and more, in many cases we don't even need to visit the original site to get an RSS feed, for example - the tools will do that for us.
The more we fill our feeds the harder it becomes to revert to source, browsing so many pages is no longer an option.
With webmentions we can pipe remote comments to our own site using the power of the #indieweb (let's face it, micro.blog is essentially a commenting system for me) but even then it feels special for someone to come directly to your site.
It's not just about control and ownership of the conversation, it's a recognition of the time they have invested in you as "it takes effort for people to find their way to personal websites / blogs".
Minimum viable social actions may give an initial, instant dopamine hit but are ultimately worthless. The extra effort is so worth it.