If you just need a menu for "new game," "exit game" and "credits," rolling your own GUI is not that hard.
However, once you need a PropertyGrid, or a DataGrid, or even just a ComboBox, then writing that in XNA is hard. And if you want to support non-Latin languages (right-to-left, top-to-bottom, multi-byte, etc) then it's even harder.
XNA is great at shuffling data between your game and the graphics card and other devices.
WinForms is great at drawing text and handling mouse/keyboard "productivity" input.
It just makes sense to use each thing for what it's good at, rather than re-inventing the wheel (and, lets face it, your re-invented wheel often ends up kind-of oval most of the time...)
Jon Watte, Direct3D MVP
Tweets, occasionallykW X-port 3ds Max .X exporter
kW Animation source code