A potential waste of time
However you can overdo them a bit. Blog comment threads almost constitute their own self-contained social network. So, it's easy to get lost in them and waste quite a bit of time, just as you might do on Facebook.
It's not such a problem occasionally but if you do this regularly it can really lower your productivity. Think about it. If you write five two hundred word comments in one sitting, that's a thousand words right there. If you'd spent that time on your blog instead you'd have two solid blog posts.
Remember to keep those comments
You can still build content for your blog while commenting on others, though. You do this just by cutting and pasting your comments into a file. You can return to this content some time later and rewrite it all substantially, expanding it into many substantial, comprehensive blog posts and articles.
You can't respond to all replies
Also, I wouldn't recommend being too conscientious about replying to all those who have responded to your comments because that can take a lot of time and energy. Sure, it's nice to respond to some of them, but I wouldn't lose sleep if you don't get to every last one. That's why I think it's best not to tick the little box that says "alert me when someone replies to my comment".