The problem with comments is that they are not custom post types (like posts, pages, products and so on) therefore they are a bit more problematic.
Unfortunately it is not possible to show them by clicking on the “More results” link. That url redirects to the theme default search page, which can only display posts, pages or custom post types – but not comments, users, terms. It’s not the plugins fault, nor the themes fault, it’s simply how WordPress is constructed at the moment. I’m not aware of any method to make this possible at the right now.
As for the categories, that might be possible actually. Currently it’s not implemented as it was never requested, and to be honest I never thought of it. But I think I might be able to do something about it.
Let me make try to implement this on my test environment, and I will let you know which file to replace to make it work.
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