I was testing with the mysql command line client. It turns out that the command line client strips the comments before sending to the server (which could be a bug).
When I tested using a PHP script, the comment was retained fine, and appeared in the slow-log as I wanted.
For reference, my mysql client version is:
> mysql --version
mysql Ver 14.14 Distrib 5.5.34, for debian-linux-gnu (x86_64) using readline 6.2