Cool, I actually found a comment on that URL that I had missed. The reason I missed it is because it wasn't in my 'threads' area because it was a reply to someone else's comment, not mine.
Apparently the 'threads' link won't show comments to your own submissions unless you're in a comment thread, but I'm generally interested in any comment to one of my submissions (hmm... that could get lengthy though :( )
Your ordering is quite what I had in mind. I was basically looking for:
1) collect all comments that are either on one of my submissions or threads.
2) sort in reverse chronological order
