In case anyone is interested, I described my instance of the problem in detail earlier, and for whatever reason the embedding of comments worked just fine when we finally published the site.
That is, the problem and symptoms I described earlier were happening when I ran the website that embeds the comments from forum.domain.com on my own system such as localhost or similar. But when I published the website to domain.com, it worked straight away.
As I’ve previously said I cannot find anything in the forum settings that disallows access to or embedding of comments from other sources than the domain.com one, so why this wasn’t working is still a mystery as far as I’m concerned. There has to be something in the Discourse code that prevents it, but what, I don’t know.