There are facilities to save text as well as photos or if you close a group/page, you can choose to archive it rather than delete it completely. I looked at this when setting up new groups for the two bands: there are instructions in the Facebook help menu. But didn’t do it in the end, as there weren’t all that many comments to be saved. Alternatively, you could copy and paste conversations into a Word doc and then save it.
But I accept that it would be difficult or impossible to retrieve stuff that’s already gone.