How do you fight that Steam bug with ghost comment?

I've had it happen a couple of times, but it always goes away eventually.

You can mark all messages as read. Try that

Log to Steam on browser and then go to https://steamcommunity.com/chat/
You should able to view, read and delete message

iirc logging in from browser and entering steam chat (profile name>activity>send a chat message) fixed that for me.