There is a certain intimacy with roleplaying over IM. Interacting in real time, you can sense that the other writer is right there with you, especially when you see "User is typing..." prompt. Usually, the roleplay is of a faster pace and is good for most one-shot and short term roleplays.
I am a really big fan of messengers, but can understand why some people would prefer PM and Forum roleplay. Some people like to take their time with their stories and write out a well thought-out response that might take several days to arrive. Those such as myself may prefer the quick real time mind-stimulating mode of roleplay to get into the zone and be completely absorbed by it.