By design, the WordPress plugin does not allow comments to be created directly on WordPress. Users need to visit the Discourse forum to post comments. It is technically possible to create comments directly on WordPress, but you need to add some code to your WordPress site that extends the plugin in order to do this. It is possible that some members of the Meta community have example code for setting this up that they would be willing to share.
I tried searching for it myself and didn’t have much luck. It’s a question that has been answered on this forum multiple times, but it’s not obvious what to search for to find the answer. I will update the plugin’s readme file so that it makes it clear that comments need to be created on Discourse.