An easier solution is to not set your comment box to public view. You’re just asking for spam and other malicious content by setting it to public.

Absolutely no reason for anyone to set it to public

Agree with the person above. I don't get why people enable comments on their profile at all, let alone from strangers, and I don't get why you would keep some people who piss you off in friends list.

But you do have to report a comment that is a legit death threat. Haven't had many of those myself, but others do get quite a lot and quite regularly on their profile page. Not being able to report the comment directly(before deleting it) is a major UI letdown.
And if you see it on someone else's page you can flag it. Why can't you even flag it on your own page? Its nonsense design and Valve knows it.

Honestly, this would be a good feature to have, even if we can already set profile comments to Friends-Only or Private. Friends can often do things and get their accounts hijacked- then the hijacker can do obnoxious things to try to get the account community banned before it is recovered by the owner. Being able to report sudden harassing or NSFW comments directly would be good. Right now all you can do is take a screenshot of it and report the person from their profile and hang onto the screenshot until or unless Steam Support asks for it (or save it to an internet image sharing site and add a link to it in your report). Pretty sure Steam Support can see the deleted comment anyway even if no one else can, but it's a PITA to have to go through all of this just to report harassment or inappropriate content left on your profile by someone else.
Not sure about restoring deleted comments though- be sure before you click "Delete" or just live with it if you do delete it. Being able to report comments is a fine idea, IMHO.