If you read the docs, you will see that it is not really recommended as it potentially increases load on your server. If you had a very busy forum, this would probably not be the best idea.
I stayed away from running EE’s forums through the templates rendering engine on a couple sites for that very reason. Then I tried it out because the allure of using EE’s tags in the forums was too much.
It works. We have not been able to tell a difference in forums page load times with or without running forums through the templates rendering engine. I suspect that there’s a potential hit on the server load if the forums are very busy, but we haven’t see it yet.
Two words: hardware matters.
That said, one thing we did before making the change was to remove EE forum’s CSS from the forums templates and make it a static file. About half of a typical forums page is CSS, which never got cached (forums pages are usually not cached). Now it’s a static CSS file which is subject to browser caching.