So if there's a large scale exodus from bluesky, as long as full backfills of the network exist, you'll be able to reconstruct your CAR files, etc even if your PDS dies.
So yes if they die all the comments disappear but people can reconstruct their history and move it to other PDS like blacksky, northsky, or others who are getting ready to start onboarding/open enrollment.
TLDR it'd be a bit rough if they died overnight but if it was a slow death and people had a bit of warning you'd see people move on to other PDS without issue.