It all depends on your workflow and needs
If a Discourse post which has included an attachment is deleted, that attachment will also eventually be lost. On the other hand attachments to Discourse posts can be protected and restricted from download by users who don’t have access to the original topic/post.
WordPress can manage attachments too, but doesn’t require they be listed in posts. Out-of-the-box it can’t protect files in the same way, if someone can get the path they can usually access the asset.