I have a TLR-1s on my 870. They are good to go. I actually have one on ALL of my weapons...pistol, shotgun, and rifle. It works great on all weapons, solid little light and super bright at 300 lumens.
The advantage of having the light on the forend is that your hand is always near it to activate. If you have it setup right your hand will never have to move from its natural position on the forend and you can activate the light with a finger.
If the light is on the magazine (depends from setup to setup) your hand could be further away from it and when you rack the shotgun obviously your hand would be far away from the light then. I suppose it is all personnel preference really. You might not even call that an "advantage", I don't know. Those are the differences though.