Don't know about speech bubbles, other than the Comment feature itself. Then it depends on how you have your Track Changes and Comments set up for viewing on your machine; how they are viewed is not part of the document structure.

Here is how to have marginal notes that are actually part of the document structure.
Marginal Text by Suzanne Barnhill, MVP

Here is basic information about Frames:
Frames and Textboxes in Microsoft Word