I understand that it is more flexible to add the effects later, but if I really like the vocal sound with reverb shouldn't I just record it that way? Capturing the moment as we are hearing it seems more authentic somehow.
It may depend on the equipment you're using and how difficult it might be to get that setting back later if you really liked it. On a DAW with plugins your 'risk' is relatively very small.
it's really more about not painting yourself into a corner when you don't have to. A reverb setting might sound great during the recording, but if you're adding other instruments the overall picture may change and suddenly that setting may not work so well, or might be too much or too little. Monitoring the reverb as opposed to recording it will keep the vibe going but still give you the option to tweak before you complete the mix.