Same problem here, temporarily solved like this:
function fix_comments_rss_attachments($cwhere) {
return "WHERE comment_approved = '1'";
}
add_filter('comment_feed_where', 'fix_comments_rss_attachments');
This is because in query.php the feed query for comments has 'post_status' = 'publish', but attachment usually have value 'inherit'. The correct way to solve this would be to check if the parent post is 'publish', but that would require another join and incur in additional cost. My fix just removes such additional requirement - I don't usually comment on unpublished posts!