<p>What are profound advantages that one get when using COM for developing components over the WCF? Is there anything that can be done with COM and not with WCF?</p>

No it's not dead yet, but it's on its death-bed, that's for sure. You see there's still to many legacy systems that use/require COM, that assures us it'll be with us for a few more years, but not in the long-run.
As for WCF, there might be some edge cases of stuff COM can do, and WCF can't, but more importantly, and related to legacy stuff, is that there are COM bindings for almost every language you can put on a windows stack, but the WCF bindings are not ready yet for everyone (languages)