When viewing two proof versions either side-by-side in compare mode, or using smart compare where PageProof highlights the differences for you, you can add comments in this mode to the latest version of the proof*.
Click the comment tool and place a pin/line/box on the latest proof version. This article on adding comments will be useful.
Click the green arrow icon to add your comment.
* The latest version must be in its proofing workflow to be able to add comments.