How to add a “Load more” button for the comment section in WordPress?

That process would normally be placed in a theme, so you would have to create a Child Theme of your current theme, and then modify the Comments template to provide that functionality.

You don’t want to make changes to theme files directly, as an update to the theme will overwrite your changes.

Many articles on how to do Child Themes, and modifying the comment template, can be found via your favorite search engine.