This is looked at as part of the "montage" command in IM examples.
http://www.imagemagick.org/Usage/montage/#label
Specifically...
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convert -comment 'my_comment' rose: rose.gif
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convert rose: -set comment 'my_comment' rose.gif
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identify -format 'file: %f\ncomment: %c' rose.gif
file: rose.gif
comment: my_comment
Now if this is dissappearing it is because you did not try to preserve the meta-data.
For example overlaying a GIF onto another image will use the other images meta-data. The GIF meta-data will not be merged! To preserve the meta-data the 'destination' or 'background' image must be used in alpha composition.