Since I was searching for an answer to the same question and this page was quite high in the results I'll share what I found for posterity.
I found the answer on this site, it's in German but the code is english and translate works well enough.
I short, this is what I had to do:
Create a management vrf (Comware calls it vpn-instance):
ip vpn-instance MGMT
Configure management port with vrf and IP:
interface m-gigabitethernet 0/0/0
ip binding vpn-instance MGMT
ip address x.x.x.x 24
exit
Setup the static route for MGMT vrf:
ip route-static vpn-instance MGMT 0.0.0.0 0.0.0.0 x.x.x.y
where x.x.x.y is the gateway address of the management subnet.