Currently, VB allows the use of comments after implicit line continuations:

foo(a.
      b(c).    ' Comment 1
      d(e, f), ' Comment 2
    g(h))      ' Comment 3

However, it doesn't allow comments after explicit ones:

' error BC30999: Line continuation character '_' must be preceded by at least one white space and must be the last character on the line.
foo(a _
      .b(c) _   ' Comment 1
      .d(e, f), ' Comment 2
    g(h))       ' Comment 3

Personally, I greatly prefer having the operator at the beginning of a line, as it is an additional visual cue that I'm chaining method calls or writing a very long expression, as opposed to breaking up a very long method call into separate lines for each argument.