Be reactive. If someone asks me to remove their content, do so. (But, of course, how will they know I've made a copy?)

That would be very nice. The rest of the Internet may have made a copy anyway, and may only mark things as deleted instead of actually removing the data.

Use oEmbed to capture the user's comment and dynamically load it from the 3rd party site.

In addition to being a muff to set up, third-party dynamic content has privacy implications that the comment section currently doesn't have.