"In the comfort of" or "at the comfort of"?
Solution 1:
The preposition is applying to the comfort, not to the location. So it would be:
We ordered in comfort. (correct)
We ordered at comfort.
Another example:
We sat in the light of the moon.
Here it is hopefully more clear that you're talking about sitting in the light rather than in the moon!
Solution 2:
The first is definitely correct.
Although you are AT your home, your are IN comfort.