Email sent from a sandbox domain shows "mailgun.us" as the sending domain, where as if you setup your particular domain it shows that as the mailing host.
You cannot utilize inbound mail to Mailgun with a sandbox domain
With a sandbox domain only 300 emails may be sent per day.
Yes, those are the limitations but if one have low activity forum then that might not be ones concern! You may start with sandbox account and setup custom domain when you start hitting limits or need other features.
Tough mailgun is a bit slow (often) in mail delivery and takes a few minutes compared to Mandrill and Amazon SES. But it worth trying.