Can I add a private comment for another signatory in a workflow?

Yes, you can send a private message. In the last step before you sent the document, click on the message icon next to the recipient for whom the message is intended. They will receive the message in their email notification and it will not be visible to anyone else.
Once the document is sent, there is also the option to add an internal comment, which is only visible to users in your organization, so external recipients will not be able to see them.