A few reasons I can think of why people do this.
1) Higher quality – while we complain about comment quality all the time on HN, comments from the average blog visitor tend to be even lower quality than posts here or on Proggit. This is due in part to the fact that stupid comments that don't add anything to the discussion, like “First!”, "Nice!", or “That’s so dumb” get downvoted to oblivion on these sites
2) Builtin Spam filtering – feeds on the point above but HN etc have had to deal with spam for some time where joe blogging solution might not have a great solution in place to deal with it.
3) No Trolls - trolls get downvoted or hellbanned on 3rd party sites, but you have to roll your own solution to deal with them in the comment section of your own website.