I've looked for this option before also. I've never thought to set a custom slug on a forum node, but I've wanted one for a link node more than a few times.
Say I want to link to some crazy URL with a long string and a bunch of parameters (like a search, or some AirTable URL). I can put that in a link node to get there, but it's only convenient if I'm there on that one page. If want to get there directly, it'd be nice to type whatever the slug is and have it redirect. "Use a browser bookmark" some will say. To them I reply with a resounding NO.
Or I could use that link node slug to link to something from elsewhere on the internet like a poor-man's TinyURL so the link is branded and memorable. If the node link is updated, so does the 301 but the slug remains so you keep your SEO juice or whatever the kids call it now. Easier than .htaccess or NGINX for simpler/temporary needs and is what I was expecting (at least partially) when I tried to use it in the past after having seen the option on other node types.
What I'm describing probably isn't even the how the underlying mechanics of a link node works, but there'd be lots of potential use-cases if you get creative.