Here is the answer I got when I opened a help ticket. Just in case it's helpful to anyone else who searches on this.
russellhowe (Workfront)
Sep 26, 10:03 AM MDT
Hi Sharon.
The behavior you are seeing is due to the "Keep the original issue and tie its resolution to this project" being checked at the time the Issue is converted to a Project. This has to do with the proof being copied instead of being moved.
When checking this box, the Document (not the proof) attached to the Issue is copied to the Project and the proof stays with the Issue. Since comments and markup are part of the proof and not the Document, they stay attached to the Issue.
To have the proof move to the Project, you would need to convert the Issue to a Project while unchecking the "Keep the original issue and tie its resolution to this project" box. When unchecked, the Document and proof are moved to the Project which means the comments and markup move with it.
Please let me know if I can help with any additional questions.
Russell
Sharon Flynn University of Virginia Health System