I think it depends on how you take it. I have seen good and bad part of both.
WordPress native Comment: Less control over privacy. There is no chance to edit or get a reply from the author for what you said.
Forum: At the forum, you get better privacy control. You get more notice, more influence and more traffics due to targeted audience. This is rarely possible with a comment.
WordPress Native Comment: Not all people scroll till last, and see the comment. Most of the time, I ignore to read it.
Forum: I read all posts and reply.