Thank you for posting this question in Microsoft Community!
As my further investigation, it does not support to remove picture directly via word comment box as I tested with the latest version of Office application. You have to Delete thread via following steps to remove picture as below:
I am so sorry that this is the option not very helpful as you may have to re-type comments again. For my suggestion, you can submit feedback in Word · Community (microsoft.com) to improve this feature and enhance user experience.
Thank for your understanding!
Best regards,
Sophia