I think that as long as we follow our rules and uphold our standards, we have more to gain from such links than we have to lose, as does the Internet.
Let me emphasize first that such questions need to be filtered and edited for scope and quality and for compliance with our quotation guidelines just like all other questions. They probably even deserve a bit more careful scrutiny along these lines because they came from elsewhere. In particular, we have to be very careful about not violating others' legal or moral rights when we copy questions in full or in large part.
Given that, the more good, interesting, in-scope, non-duplicate questions we get here, the better for us, and the better for the Internet. If a question was first asked in another forum, then presumably that forum didn't provide sufficiently good or many answers. If we can help, the Internet will be richer.
And if a question came from somewhere else or was even inspired by something said somewhere else, why not refer/link to the original location and give due credit? Mi Yodeya exists as part of a large ecosystem of Internet publications and forums, all feeding off each others' content in various ways. Each has its own community and style, so when one builds on something found on another, the Internet benefits from the two sets of perspectives implicitly working together. In such cases, it makes sense to acknowledge this cooperation by making the link explicit.
One exception to this rule would be if the source forum is somehow so objectionable that we would prefer that people who visit Mi Yodeya would never visit it. (So, for example, it would be fine to leave out the link when asking "What would you say to this line of argument I'm summarizing from an anti-Semitic site?") That is not the case here.
Let me address, as a side point, the mostly-unspoken concern that by linking to a forum with a similar form to Mi Yodeya's we're somehow supporting "the competition." Mi Yodeya is, thank God, successful at attracting contributors, content, and readers because we have a high-quality community maintaining high-quality content. If another Jewish forum manages to develop a good enough community and content base to compete for some of our would-be contributors' and readers' attention, that's a good thing for everyone sharing an ecosystem with that forum, including us.