I also prefer to have all comments on one of my stories on the actual story post itself in my journal. Whenever possible, if I post a pointer to my story in a fic community, I disable comments on that entry, so people can't comment there.
When people have commented on the fic community entry, I never thought of it as they were snubbing me or something. I'm not sure why people do it.
Perhaps it could be because they want other fic community readers to see the nice review and encourage more people to follow the link and read the story? (I guess that's the glass-half-full theory :-)).