A non-pullback-preserving example:
The category of undirected multigraphs (loops allowed) $\mathbf{Multigraph}$ is comonadic over $\mathbf{Set}$. The forgetful functor $\mathbf{Multigraph} \to \mathbf{Set}$ sends a multigraph to the disjoint union of its vertices and edges, and the right adjoint $\mathbf{Set} \to \mathbf{Multigraph}$ sends a set $X$ to the multigraph with $X$ vertices and $X$ edges between every (unordered) pair of vertices.
The formula for the induced comonad $F\colon\mathbf{Set} \to \mathbf{Set}$ (the composite of these two functors) is $$\small X \times (\text{ways to put $2$ indistinguishable balls in $X$ distinguishable bins}) + X = \frac{X^3 + X^2}{2} +X.$$
This is not a polynomial endofunctor. Morever, it does not preserve pullbacks: for any set $X$, the pullback of $!\colon X \to 1$ along itself is $X^2$, but the pullback of $F(!) \colon F(X) \to F(1)$ along itself is $(\frac{X^3 + X^2}{2})^2 + X^2$, not $F(X^2) = \frac{X^6 + X^4}{2} + X^2$. (That is, squaring every summand is not the same as substituting a squared variable.)
Where does this example come from? As mentioned in the question, polynomial comonads on $\mathbf{Set}$ correspond to categories. So let's aim to understand general comonads on $\mathbf{Set}$ as "generalized categories".
If $C$ is a category, then the category of coalgebras over the corresponding comonad is equivalent to the category of functors $C \to \mathbf{Set}$. The forgetful functor $(C \to \mathbf{Set}) \to \mathbf{Set}$ is defined by $P \mapsto \sum_{c \in C} P(c)$, and the right adjoint $\mathbf{Set} \to (C \to \mathbf{Set})$ is defined by $X \mapsto (c \mapsto X^{|c / C|})$, where $|c / C|$ denotes the set of arrows out of $c$.
For example, the category of quivers $\mathbf{Quiver}$ (a.k.a. directed multigraphs) is comonadic over $\mathbf{Set}$, via a polynomial comonad, as quivers are presheaves over the category $\bullet \rightrightarrows \bullet$. The forgetful functor $\mathbf{Quiver} \to \mathbf{Set}$ sends a quiver to the disjoint union of its vertices and edges, and the right adjoint $\mathbf{Set} \to \mathbf{Quiver}$ sends a set $X$ to the quiver with $X$ vertices and $X$ edges between every (ordered) pair of vertices. The formula for the induced polynomial comonad $F_{\mathrm{directed}}: \mathbf{Set} \to \mathbf{Set}$ is $X^3 + X$.
One way to construct new comonads on $\mathbf{Set}$ is by taking colimits of old ones. (It is a general fact that a colimit in a category of comonoids exists and is computed pointwise if the pointwise colimit exists. Therefore, the category of comonads on $\mathbf{Set}$ has colimits, computed at the level of the underlying endofunctors.) The undirected multigraph comonad $F$ is the coequalizer of the identity morphism $\mathrm{id} \colon F_{\mathrm{directed}} \to F_{\mathrm{directed}}$ and the comonad automorphism $\phi \colon F_{\mathrm{directed}} \to F_{\mathrm{directed}}$ corresponding to the automorphism of $\bullet \rightrightarrows \bullet$ that switches the two parallel arrows.
$$F_{\mathrm{directed}} \overset{\mathrm{id}}{\underset{\phi}{\rightrightarrows}} F_{\mathrm{directed}} \twoheadrightarrow F$$
In summary, undirected multigraphs are the "presheaves" over a "generalized category" obtained by forgetting how to distinguish between the two parallel arrows in $\bullet \rightrightarrows \bullet$. (That is, forgetting how to distinguish between the source and the target of an edge.)