After deleting a comment, the text referenced by the comment remains hyperlinked. The only way to remove the hyperlink is to delete the text and retype. As I am revising a novel, retyping every line previously associated with a comment is untenable. I had imported into Scrivener from Word.
This is a known bug in Scrivener 3.1.5 that I understand will be fixed in the next update.
In the mean time: the problem should only occur if you overtype the text that remains selected after deleting a comment. If you move the cursor away from that selection, and then back again, the unwanted hyperlink formatting should not appear.
To correct instances of this that have already occurred, select the text in and around the bad hyperlink, including one word before and one word after the blue text, then cut it, and use Edit > Paste and Match Style to paste it back into the original location, applying your document’s default style.