No hay manera de quitarlo y que el comentario sea visible.
Tampoco puedes cambiar el color.
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Lo que hace la rutina en el enlace es poner un forma (Blanca) encima del triángulo rojo, para taparlo.
Sub CoverCommentIndicator()
'www.contextures.com/xlcomments03.html
Dim ws As Worksheet
Dim cmt As Comment
Dim rngCmt As Range
Dim shpCmt As Shape
Dim shpW As Double 'shape width
Dim shpH As Double 'shape height
Set ws = ActiveSheet
shpW = 6
shpH = 4
For Each cmt In ws.Comments
Set rngCmt = cmt.Parent
With rngCmt
Set shpCmt = ws.Shapes.AddShape(msoShapeRightTriangle, _
rngCmt.Offset(0, 1).Left - shpW, .Top, shpW, shpH)
End With
With shpCmt
'.LockAspectRatio = msoFalse
.Placement = xlMoveAndSize ' xlFreeFloating ' = xlMoveAndSize
.Flip msoFlipVertical
.Flip msoFlipHorizontal
'.Fill.BackColor.RGB = RGB(6, 0, 0) ' = s
.Fill.ForeColor.SchemeColor = 9
'12=Blue, 57=Green
.Fill.Visible = msoTrue
.Fill.Solid
.Line.ForeColor.SchemeColor = 9
.Line.Visible = msoFalse
.Shadow.ForeColor.SchemeColor = 9
.Line.BackColor.SchemeColor = 9
'.Line
End With
Next cmt
End Sub
Pero si insertas filas o cambias el tamaño de la columna, se perderá.