As Clive said, we don't have it because we have a lower traffic, compared to Stack Overflow.
Also, Stack Overflow is the test site for many features; once the feature doesn't need calibration anymore, Stack Exchange could decide to implement it in other sites too.
should I include a comment explaining what the user did wrong?
Please! Yes, that would be great. Be nice, of course.
will the flag already show the user an automated message?
No, the OP doesn't get notified about a flag on their post.
does the moderator post a comment?
Usually, if the flagger hasn't done so, yes. There may be times when we don't (we ...