It depends on the wiki. Some allow you to delete your own comments, others only give admins the privilege of deleting a user's comment. If there is a comment you've posted and you want to delete it but it's not giving you the option, you'll need to alert an admin on that wiki.
Users can remove their own comments from Forum and Message Wall. Users can remove other's comments from their own Message Wall. Other than that, only wiki moderators and admins can remove comments. It is not wiki-dependent.