Ah, you're right. I imagine most users aren't aware of this because they assume that if their comment was removed, they would see the "[removed]" tag like they see for everyone else's removed comments.
And either many redditors have never had their comments removed, or more likely, shadowbanning is apparently a lot more effective than people realized.
Yeah, it's not uncommon at all to see things like, "Edit: Wow, this whole chain of comments was removed, except for mine!" because people don't realize that the site actively hides whether your posts are removed.
Pretty much all of reddit's moderation tools were created 10+ years ago for anti-spam purposes, and have hardly been changed since then. They don't work very well for how they're actually used now.
It is really sad to see Reddit stagnate on spam handling, but the dev resources at Reddit seem to be laser focused on making the new UI & features that ease the transition from Facebook to Reddit.
Most of the subreddits with active mods and communities have yet to stylize and reimplement their custom CSS, sidebar and links on the new UI (or can't due to limitations of the new UI), which means lots of people using the new UI miss out on key features that differentiate a subreddit from the rest of Reddit.
And either many redditors have never had their comments removed, or more likely, shadowbanning is apparently a lot more effective than people realized.