Empty folder in Options in the Synchronization window means that it will use Semagic folder. Download of comments requires additional authorization, it can either use your permanent cookie from IE (make sure it is for the same username, Semagic does not check it) or create separate cookie by itself. It is also configured in Options in the Synchronization window.
Note that if you connect via proxy you need to specify proxy in IE in order to download images if you set it to use IE cookies (images and comments are downloaded either via urlmon with IE cookies or via winhttp where cookies are not accessible).
Also edited comments are not synchronized again after edition.
There is an error at LJ side when entires added to ljtimes (or cross-posted entires at dreamwidth) are not synchronized. Now (v.1787) Semagic can download entries even with that error though some entires' properties are not accessible.
If you get an error while downloading comments: from the Login window, in the Connection settings, specify direct connection, not IE proxy. Now (in v.1781) it is fixed.
Update 31.12.2015. For about a year or more the comments are not downloaded due to changes of authorization cookies at LiveJournal. There is a workaround: in options in the export window, select IE cookie option. Then login permanently in IE. Then on XP it works. If it does not, open Web tab in Semagic and login there. Then it should work. Checked for windows 7.