The hosting of the WCF service inside WebRole implies that it is hosted in IIS. Some people prefer not to have an IIS clutter with their ServiceHost and host the service directly. They have more control over how communication with their service is done without IIS in the middle.
In addition, when compressing a packaged solution for clients, it is easier to create an installer package without trying to rely on the IIS infrastructure, which clients may or may not properly deploy / configure.
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