Hmm, I’m not seeing anything on the page that indicates the comment template is being loaded. The reference to discourse-embed-js in your screenshot is not from the WP Discourse plugin. I think it’s related to the script that was loaded by the wp-discourse-embed plugin. It’s actually triggering an error on your site:
Failed to load resource: the server responded with a status of 404 () discourse-embed.js
There’s also a <div id="discourse-comments"></div> on the page that’s from the wp-discourse-embed plugin, not the WP Discourse plugin.
I wouldn’t enable the WP Discourse “Load Comments With Ajax” setting until you confirm that there’s an issue with cached comments on the site. Even if that was the case, it should be able to get the comment template to display.
Are there any plugins installed on your site related to comments? I’m wondering if a plugin, or the site’s theme is preventing the WordPress comment template from being loaded. The WP Discourse plugin depends on that template being loaded. There are a few workaround for that, but they’re all fairly technical.
I’m sure it will be possible to get things sorted out 