I´m really interested in this; I want Guest to be shown like "Guest", I mean, they couldn't write their nick or user name if they are guests.
You could edit /components/com_jcomments/tpl/tpl_form.php and replace:
<input id="comments-form-name" type="text" name="name" value="" maxlength="<?php echo $this->getVar('comment-name-maxlength');?>" size="22" tabindex="1" />
with
<input id="comments-form-name" type="text" name="name" value="<?php echo JText::_('Guest'); ?>" maxlength="<?php echo $this->getVar('comment-name-maxlength');?>" size="22" tabindex="1" disabled="disabled" />
And the another thing is that I would want the nick of registered users to be linkable if it is possible, for examplo to their Kunena profile.
You could install JComments Avatar plugin and select Kunena as avatars' source and link user's avatars to their Kunena profiles.