Patrick,
We haven't heard of that issue before for a normal upgrade. Facebook Comments are tied to a specific URL. The only ways I know the comments can 'dissappear' is when they are simply associated with a different URL. For example, the non-SEF version of a URL versus the pretty SEF URL. JFBConnect will generally always generate the same URL for a page regardless of the actual URL to make sure that all the comments properly do associate with the right page.
Some things that we know of that can cause the URLs to change permanently in a way that can cause issues:
* You were using another FB Comments extension before moving to JFBConnect. They both may be generating different URLs for the same page.
* You migrated from Joomla 1.5 to Joomla 2.5. The URL structure for each Joomla release can change depending on the extension/page you're trying to use the comments on.
* You enabled the built-in Joomla SEF URL or added (or modified the configuration of) a 3rd party SEF extension (sh404SEF, AceSEF, etc).
Beyond that, the URLs really shouldn't change and the comments should 'stay'. If they aren't, can you let me know how the comment box is being added? Are you using the Content plugin, the JFBCComments module, or the {JFBCComments} tag? Also, if you can find a way that the comments appear on one page and then don't appear on the same page (usually from reaching the page through a different URL), let us know that, as it will help narrow things down.
Thanks,
Alex