whenever you wrap something in parentheses in an identifier, it's treated as plaintext.. commas included
![laugh laugh](/images/graemlins/mirc/laugh.gif)
so your /(,)/g example should've worked (both in $regex() itself, and in the variable as you had it):
//var %string = bla, bla, bla | echo -a $regex(%string,/(,)/g)
or you can use a hex escape such as /\x2C/g or octal: /\054/g (or /\54/g)