You can delete and edit comments on lemmy. But that doesn't mean all severs or users will honour that request. Same is true for reddit, hence why it is possible to see deleted reddit comments on 3rd party websites. (And deleted tweets, etc. on other sites.)
People post on lemmy for the purpose of sharing thoughts and ideas with the world. If your stuff is private: don't post it! This is true for all social media. Also note, lemmy doesn't ask for your phone number or other unrelated personal information.
Interesting. I didn't know that about deleting comments. The web client on my instance has a delete button, but is there some kind of issue with that change not necessarily propagating to other instances?
It doesn't bother me much personally since you never really can be sure that you deleted something from the internet. Even if reddit deletes a comment, you can possibly find it on an archive somewhere. Anything you toss onto the web should be something you're comfortable with the world knowing.