Can we have a look at the layers on the artboard and their structure? A screenshot from xd with the layers panel visible would be nice. You can place pins on objects, but if you have some fixed group or layer on top, they might be sticking to it and stay fixed for that reason.
yes, that fixed a big complicated component (top menu), but it must be the first of the layers. That is my request - if I could pin the comment on any object.
Technically you can pin it to an object, but that object is picked automatically based on what the pin is over. So if that first layer / component covers everything, it is detected as the pin's anchor and not the objects below. You can't target specific objects in a dropdown or something and comment on them.
P.S. You can try hiding that top layer / component, updating the link, adding the comments to objects, and then showing that top layer again, if it's worth going through the hassle.