Notes and comments are two ways of making notes about an exercise. They're similar to each other, with one important difference.
Comments are rather like comments in any social media platform. Most exercises accept comments (members only), so this is a way that you can post questions or share a thought about that particular exercise.
Notes, on the other hand, are a convenient place for you to post your own thoughts and questions about a particular exercise to be read only by yourself. No one else will ever see what you write to yourself in your notes.
(To be technical, the site administrator does have access to your notes. But we respect your privacy — we won't read your notes unless it's critical to some diagnostic operation that we need to perform, or unless we're required to do so by an agency of law enforcement. In other words, for all practical purposes, no one else will ever read your notes.)
To summarize, everyone else (members and non-members alike) can see what you write as a comment. But what you write as a note will be seen by you alone.