Perhaps there is an explanation somewhere, but my feeling agrees with your feeling; that comprehensive, all-inclusive and extensive are close to the same meaning. In other words, the differences would be a matter of the speaker or writer's taste.
Interesting question because I had just rearranged my reference books of my library. Looking me square in the eye was something entitled The New Comprehensive American Rhyming Dictionary. The author does not specifically explain what he means by comrehensive. He does allude to twenty years of research, a lot of slang that has been missing before, words reflecting racial or ethnic prejudice are omitted and the author does admit that some words might be missing, but fewer have eluded the author than might have eluded the user of the book.