I think this strategy becomes more important as we share more links on sites like Twitter, where we don’t have room to expound on why we’re sharing the link in the first place. If we comment on a blog first we’re not only building on the “pros” you’ve described above, but we’re also giving a clue, through our comment, as to why we thought the link was important in the first place.

It also adds a hint to the readers we send (to the blog entry) that they can/should comment on the blog too–rather than just reacting via Twitter, StumbleUpon, Digg or wherever.

While social media comments can drive traffic and promote discussion on external sites, comments made on the blog endure while fostering ongoing relationships between bloggers and readers. If the comment adds value to the post then it remains there, as an extra part of the discussion, available for anyone to see whether they view the post the day it was made or discover it two years from now.