This is can actually be quite useful on "help me!"-style forums, like car forums. People often forget to give enough info about eg. their car year model, for others to help specifically. But if this info is in your sig, it's hard to forget (but also you forget to update it when it changes)

> The puzzling thing

I'd guess that this is because forums have forum-specific profiles, whereas mailing list are replied to from the one inbox.

Also, people can probably manage to find the signature section of a forum profile, but not their (web)mail client!