I have a down throw on my bed that the dogs like to scrunch up and sleep on. Gabriel has peed on that twice...just on the down comforter! Thankfully, it didn't go through to the bed. I think it must be something about the down. Also, he has only done this when he has been over due to go out and pee.
The only other place he has peed is on a large Landsend dog bed, which has a type of a down insert. That didn't get ruined though as I use a plastic garbage liner to protect the pillow insert. The cover, which is made out of Levi is washable.
One thing you could do is put a waterproof sheet on top of your comforter, then a cover sheet on top of that.