With respect to the comprehensive exam, there's advantages and disadvantages. Not all Medical Physics PhD programs require them.
The advantages include a kind of "integration of knowledge." Studying for a comprehensive exam tends to solidify your core knowledge of physics in a way that studying for individual subject tests can't really mimic. Most people who've gone through the experience tend to agree that it makes one a better physicist in the end. There's a bit of a "badge of honour" to it as well.
The main disadvantage is that it can add a significant amount of time to your degree. Many students will do nothing else other than prepare for it in the months leading up to it. In some cases, if the first attempt is not successful, a student can spend the better part of a year just getting through this exam. In more academic settings going through this exercise tends to have a lot more value. But for someone who ends up primarily as a clinical Medical Physicist, the benefits may not be worth the cost.
Believe me, I understand "test fatigue." But in order to eventually become a certified Medical Physicist you're going to have a lot more of them. Even without the comprehensive exam there's still exams in all your courses, a candidacy exam, your thesis defence, and then your board exams - written and oral (and the ABR even breaks them into stages if you end up taking those).
QA and Commissioning Work
Often Medical Physics graduate students can get part time jobs doing quality assurance measurements in the radiation therapy centres affiliated with their programs. Every day/month/quarter/year various machine performance parameters need to be measured to make sure they are within an acceptable tolerance level. These would include things like radiation output rate, beam symmetry, mechanical tests, tests on the performance of the multileaf collimators used to modulate the beam, objective tests of the quality of your imaging systems, etc. They can also include patient specific delivery verifications, where a treatment would be delivered to a phantom device and the dose distribution that you record is compared against a predicted one. Students are often hired to help out with these measurements.
With respect to commissioning, that's all about bringing new technology into the clinic. Students can sometimes be asked to help out with testing the new equipment to make sure that it performs the way that it's supposed to, developing procedures, calibrating it, comparing it against older or more established equipment, etc. This isn't something you would be left alone to do, but might get asked to help out with.