Both forms are very close but there is a very slight difference:
Il faut savoir se comporter en adulte
somewhat implies that the person is an adult (or close enough) and has to behave as such
Il faut savoir se comporter comme un adulte
can be addressed to someone who is not yet an adult.
In the second example, se comporter comme un homme d'affaire suggests the person might not be a businessman, but rather someone who fakes being one (or aspires to be one).
With se comporter en gentleman, the behavior tend to be genuine, innate while with se comporter comme un gentleman, the behavior tend to be artificial, acquired.