Maybe they just want the links to be there for Google to see... to improve the page rank of their scam site so that it comes up higher in Google search results. They just want links from the forums they spam, not necessarily clicks.
Thus an interesting idea for web forum software: add a kind of restriction on link posting. Like how some forums require that you post 10 things that aren't spam before you're allowed to send private messages to other users, or other such arbitrary restrictions... what would be useful is one that goes: you can post links immediately after signing up, but every link you post will have
rel="nofollow" attached to it, so that Google and other search spiders won't follow your link, and you won't get Pagerank credit for it. And then after posting enough on the forum, all your previous links and all future links will be linkable for search engines then.
Spam bots always seem to find ways to register and spam forums, but taking away their ability to get any Pagerank credit for their spamming would help fight back just a little bit.
/random thought of the day/
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Great idea, now to spread the word.