They show up in your activity feed on your profile, but not in your gallery. Those who commented probably are followers so it would most likely show up in their activity feeds. The content filters block from the gallery but not the activity feeds, but I only have the nudity one checked and I can't see them. It doesn't look like they need that, unless you accidentally checked it. And maybe the thing is borked.

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Available on Amazon for the Kindle E-Reader Monster of the North and The Shimmering Mage

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