Because you don’t need to have significant experience or rent a VPS in order to do that, and I can respect that. We don’t need to force FOSS developers to become proficient in everything.
What needs to happen is some kind of tool (ideally FOSS) that lets you spin up an actual forum with the same difficulty to set it up as Discord.
Cookies required for the website to work (like that one) are totally fine and, in fact, they don’t even have to ask you about them - if they’re not used for tracking. So no, asking each time is definitely avoidable.