For me the comment highlight only goes up to the punctuation point, not including it, but this is the other way around from how the thread started, where you stated wanting it to include punctuation.
In looking at it again, I don’t think the Mac has any control over how comments work. Well, something to consider is that you can create footnotes while writing, and later convert them in bulk by selecting them all in the Inspector sidebar, right-clicking, and converting to comments. Either that or you can just select what you want to highlight from the start.
I want to include punctuation when press “cmd+shift+*” on mac.
I did try the workaround, add footnotes. In the end, you convert all the footnotes into comments. However, I cannot use this method, I’m an academician, and I add all my citations as comments and hide them using view > text editing > hide markup. If I’m correct, I cannot hide footnotes.