I’m just adding a note here about an issue that was reported last month with comments not being displayed due to recent changes in how many browsers are now setting the referrer policy for cross site requests. That issue has been fixed in the core Discourse code. As long as your Discourse site is running the latest code, you should be able to use the WP Discourse Embed plugin without any issues.
For more details about the issue, see https://meta.discourse.org/t/embedding-discourse-comments-via-javascript/31963#setting-the-referrer-policy.