Alter required message using comment form api

What you need to use is comment_form_defaults filter that has large and nested $defaults array passed. That array will have (among other things) something like this in it:

fields
      author << this will have something like <span class="required">*</span> in it
      email << this will have something like <span class="required">*</span> in it
      url 
 comment_notes_before << this will have something like Required fields are marked<span class="required">*</span> in it

So in your filter you need to change these fields in array you got passed and return whole array.

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