Yes, it would be nice. Unfortunately people seem to be consistently ignoring the message and instead going for http://mydomain/somesoftware/index.php?sessid=foo&articleid=hexgibberish&tracking_id=wemonitoryou&.
And when they actually bother to implement "pretty URLs", you get something like /latestnews/heading+of+the+article/123562345123 where the number makes all the difference and the human-readable part can be modified or even removed without changing anything.
Web forums very often fail at providing links to the right page of the thread (or preferably, to the right message). Consider /somebbs/thread/1235123?page=4. If the user is not logged in and the forum displays the default 10 messages per page, that link brings you to messages 31-40. If the user is logged in and has configured the forum to display 100 messages per page, the same link shows messages 391-400. There is no way to know which message was meant unless you know which setting the creator of that link used.