Clarification: Inline comments are not supported within some macros (for example, a code macro). The below documents a different scenario.

Steps to replicate - FIXED in 5.9

1. Install Confluence 5.7
2. Create a new space
3. Create 2 page under the new space. (e.g. Testing and Testing2)
4. Add a label in Testing page. ( e.g add label name Test)
5. In Testing2 add a macro name "label list"
6. In the same page (Testing2) add the following line:

   I would like to Test this page 

1. Highlight the word "Test" and add comment

In Confluence Cloud

1. Create a new page
2. Add a page properties macro
3. Insert any text inside the macro
4. Publish the page
5. Highlight the text that was inserted inside the macro and add an inline comment

Alternate steps to replicate (tested with Confluence 5.8.15) - STILL BROKEN

1. In a space, create two pages: Test1 and Test2
2. On Test1, add the following text: "Link to a page"
3. Underneath that text, add a link in which the link text is "Link to a page" and the target is the Test2 page
4. Save the page
5. Highlight any of the words in the text (not link) "Link to a page" and add an inline comment

Observed Behavior

I see the below error:

We can't add your inline comment; the section you highlighted may contain a macro or user mention. Try highlighting plain text.

Expected Behavior

The user should be able to add a comment.

Observations

Confluence thinks some pieces of text is an inline macro when it's really not - inline comments should be possible.

Notes

The text highlighted doesn't allow the comment inline to be added, it is grayed out on the new editor, however, it doesn't happen on the legacy editor.
It doesn't work for a few macros and for tables as well on the new editor.