Is the manual correct and I am just missing something?

Section 24.18.2 Comment and annotation options. I am not seeing margin or inline comment options in the Compile panel or anywhere else. Am I missing something?
Or converting comments to footnotes?

One thing you have to be mindful of in some of those subsections are what file types they pertain to. There are more options for RTF-based outputs for example (the ones you list here), than there are for PDF, and ePub is entirely different. I do try and make it clear when an option is only available to some types, but let me know if I missed a spot!