Game forums like this one get a lot of spam messages, but they're hardly ever advertising something in games. It's not like people who run forums have figured out how to make forums immune to spam.
Presumably gold spammers have tried spamming game forums and found that in-game spam works better. But I'm curious why spamming game forums doesn't work for gold spammers, but does work for sites that have nothing to do with the forum theme. My best guess is that forum spam isn't so much an effort at getting people to click on links as it is to trick search engines into thinking that the site that the links point to is important.