I am attempting to modify the comment form notes with text and a link to the comment policy.

The (HTML allowed) suggests to me that I could have a link; however, joomla seems to strip it from the message.

Joomla! Version Joomla! 3.5.1
K2 v2.7.0

Superuser account with no filter set on text filter settings from global configuration

Thoughts on what I may be missing?

Hello,
The default language string is:
"Make sure you enter all the required information, indicated by an asterisk (*). HTML code is not allowed."

github.com/getk2/k2/blob/master/language/en-GB/en-GB.com_k2.ini#L36

I never had a chance to clarify this further. I'm still trying to understand k2 Parameters > Comments > Comment form notes (HTML allowed)

There is a box that suggest we can add our notes to change the default line you referenced. It says "Comment form notes (HTML allowed) If you don't add your own notes, a default message will be displayed." I have added text and tested that this does replace the default string ""Make sure you enter all the required information, indicated by an asterisk (*). HTML code is not allowed."; however, it strips the HTML out. Which is strange as it says that HTML is allowed which would be helpful to create hyperlink to the commenting policy. Is this just a typo in the parameters or am I missing something

Are you using the latest version of K2?
Can you send me a link to your site?

K2 V2.7.1 at highchronicler.com/blogs/item/19-bionicle-tribute

It actually is an issue with all websites I have - so I figure it is a setting I haven't found yet

So if I paste this code into the box "Comment form notes (HTML Allowed)" <p>Look at our <a href="tech4impact.com/">Posting Policy

and then save I get back "Look at our Posting Policy" so the html is stripped away.