Lot's of things going on here, but I think I figured them all out.

missing avatar

Frank’s site is only served over HTTP, not HTTPS. In <img src="">, that’s fine and only creates a warning in the browser, but in your comment display it is included in <img srcset="">. Here, browsers do not accept mixed content, so the image is blocked and not shown. This is also why there is no default avatar: the avatar was found and is requested in the HTML, but the browser refuses to load it.

link to

The odd bit is that address is not mentioned in the source of Frank’s page.
That’s not true, and the problem in this case. There’s a <a href="" class="u-syndication"></a> as the only top-level link inside his post, and no explicit url property set. This causes the microformats parser to assume that this link points to the canonical location of the post, and it is thus used for comment display. This seems like a problem with the microformats specification, and I'll follow up on it there, but for now the easy fix would be for Frank’s posts to mark up their permalink, e.g. by adding a class="u-url" to the link on the headline.

absence of content in comments

This is intentional. Frank’s post only mentions your post (=includes a link to it), it is not marked up as an explicit reply. Only replies are shown with content, since for mentions this is often misleading.