You have to define the company as well. If you write rake routes you can see that you dont have order_comments_path because its double nested, so you will se something like company_order_commments_path which takes minimum two parameters, a company_id and an order_id. So if you really want to use this 3 level nester resource you have to add a @company variable to the form path. Like:
<%= form_for([@company, @order, @order.comments.build] do |f| %>
But in the most cases it's useless to define both company and order to identify an order, so the other option which could be better to add separately another route for the orders and comments, and this makes sense.
In your routes.rb
...
resources :orders do
resources :comments
end
...
So you can manipulate orders, without specifying the company. Also in the most general cases you don't get any important advantage by defining 3 level nested routes.