One reason is search engines. With a 301 redirect for example, you are telling them that your content has permanently moved from example.com to about.me/example

One reason is search engines. With a 301 redirect for example, you are telling them that your content has permanently moved from example.com to about.me/example. Your efforts to promote your page and acquire backlinks will only aid about.me not your own domain. If about.me were to shut down or you were to decide to build your own homepage, you'd be starting from zero SEO-wise. Furthermore, people may bookmark about.me/example (it's where they landed after all) or link directly to it bypassing your domain name. There are also other considerations, mostly related to the user expectations and experience.