To show the comparison numbers you also need to use "Edit View" (in the View menu) to add the columns that are called "? (Compare)". If you don't show any of those columns, the info from the Comparison Budget will not be displayed anywhere.
In the Budget table, any details from the Comparison Budget that can be matched with similar details in the currently viewed Budget will be totaled and shown in the "? (Compare)" columns.
Any details from the Comparison Budget that can NOT be matched will instead be displayed at the bottom of each account, in an italic font. And here's a tip: You can select those details, right-click and choose "Copy To Current Budget" if you want a quick way to copy them from the Comparison Budget to the currently viewed Budget.
When you run a Financial Report on the Budget, you can also display the comparison numbers by using the fields inside "Numbers (Comparison Budget)".
NOTE: Any lines that are in the Comparison Budget but NOT in the main Budget are hidden until you display at least one "Numbers (Comparison Budget)" field.