I understand where you're coming from in wanting that control, but I would encourage anyone who feels that they should be in control of what they put on the internet to meditate on the word "publish."
You would laugh at Stephen King if he suddenly demanded that everyone return their copies of the Dark Tower, right? At one point he made the decision to "pull the trigger" so to speak, and publish that work. Like any trigger with lasting consequences, once you pull it, they are there.
This isn't to say that one shouldn't be able to delete one's comments, but in an open and distributed system you'd need to track down all the copies, and it seems there is no way to know you've got them all. And if you can find a copy, there's no guarantee that the host will respect a request to delete it.
These are difficult questions, and I have no solutions. Having said that, I don't think that being able to delete comments here is really that important or desirable. I respect that others will disagree with that.