Don't know what to tell you, I tried opting out a year ago [1] and they still have some of my deleted comments today [2]. Pushshift is a massive GDPR violation so I'm surprised they haven't gotten into any trouble yet.
[1] https://imgur.com/a/Gjp7YOA
[2] https://camas.github.io/reddit-search/#{%22author%22:%22trin...