Imagine we had never heard of this "comments" idea. How would we design such a feature? For starters, we'd need moderation. Some automated spam blocking. Voting might be a nice feature to draw attention to good comments. Reputation for the participants might help.
We'd end up reinventing HN, Reddit, Digg, &c. One of the reasons I prefer to link to HN is that there is a community with a well-understood standard for behaviour. If I had my own comments, I'd have to ask people to live up to some set of arbitrary standards, and that's a lot to ask when someone might only read one thing from me every month or so.
You have a good point. It really depends on how well of a fit the audience in question is to your content. If you're trying to build your own community then it makes sense to maintain your own comments and moderate them yourself.
This is just the first time I've seen it. I wonder what the policy is on creating an off-site mechanism to post to Hacker News. I looked over the various APIs and none seem to offer a method to post a link. They're mainly read-only.