Actually, there is a very good reason to use Photoshop with plug-ins. In Photoshop you can work with layers and layer masks, and you can revisit the plug-in layers at any time to tweak the plug-in adjustments, assuming you don't flatten the layers and then save the resulting file over your "project" file. That's part of the power of Photoshop. In Lightroom, once you finish the work with a plug-in, they typically save a flattened tiff/psd.
But, plug-ins have over time gotten more sophisticated, having built-in layers and such. If that's the case with the Nik plug-ins and you can actually save an unflattened file that can be a real benefit for sticking with Lightroom unless you need other Photoshop capabilities.