I fought this problem not too long ago.
A colleague and I threw together a custom module to solve the problem. Here's the code currently working on our D7 (7.26) site:
/**
* @file
* Fixes a bug where Drupal doesn't retain the creation date of comments.
*/
/**
* Implements hook_comment_presave().
*/
function comment_fix_comment_presave($comment) {
$data = db_query('SELECT created FROM {comment} WHERE cid = :cid',
array(':cid' => $comment->cid))->fetchAll();
if (!empty($data)) {
$comment->created = $data[0]->created;
}
}