Comments on a stream are always attached to the activity entry unless told otherwise. So for example the asset of comments on an activity entry would be "activity.123". You can see this within CB Activity > Comments by reviewing the comments raw information. You have to override this from PHP. There's examples of this within the activity_core template file, which you can override and add your custom parsing to if you like.

I'll probably allow a default asset for comments to be stored with an activity entry in the future, but at this time that's not possible. Added a feature ticket for this as is a pretty neat idea.

forge.joomlapolis.com/issues/6855

The comments on an activity entry are tied to that activity entry. They are not tied to the source object of that activity entry. To change the asset for the comments of an activity entry you have to do so from PHP. The activity_core.php is doing exactly that for several core activity entries. There's no other way to do it at this time.

My feature ticket is to implement support for specifying the default asset for comments for an activity entry at time of storage (so when you generate your activity), which avoids needing to use PHP; but I've no idea when i'll get that implemented as i'm busy with CB Conditional.

Can you make that it applies by default to all already existing activities ?

No, that's not how it'd work. The default asset for comments would be saved to the activity entry it self. You will have to manually fix existing entries. If you want to override it for past and future activity entries you need to do so from PHP like core activity is doing.