I am not familiar with commenting on Squidoo but if your comment provides a backlink to your lenses, it can help you but the importance of these kinds of backlinks, should be tested. There are other ways you can make backlink for your lenses too and you can use them to rank your lens better.

Squidoo lets you turn html on or off in comments. So it's up to the individual making the lens whether there's a live link in it.

Like blog comments, I'll check the content of the comment before allowing it or deleting it (or, for really obvious spam, banning the commentator).

Personally, I'm more likely to approve your comment if I think it will be useful to readers of my lens. But if you're just commenting for the backlink and not contributing much - if anything - to Squidoo, I'm unlikely to approve you. Other lens owners will have their own views.