They don't comply with GDPR. Not sure if it still works, but you can use PowerDeleteSuite to edit and then remove your comments. It's a good idea to keep your account open for another week or so to make sure Reddit doesn't restore deleted comments (they did for a few comments on my account), then delete the account in the preferences tab (I used old reddit to do so)
https://github.com/j0be/PowerDeleteSuite
To avoid rate limiting, there is a 5 second delay between editing and deleting each comment, so expect it to take a very long time.