I think "two discussions" are less than one. If someone introduces an interesting point in a comment thread on one site, commenters on the other site may never encounter it, &c. I much prefer consolidated comments on both my entries and on the entries I read. In my experience, leaving an OpenID comment on DWth is a nearly identical experience to leaving a comment on native LJ. Add to that the ability to crosspost "leave a comment/X comments so far" footers, and I see no good reason not to consolidate comments.

It bugs me when people don't at the very least include a link to the other version of the post -- but, as you point out, that is awkward to do in reverse (you have to manually add the LJ link to the DWth post), so it's not a great solution.