Would this make sense, or are there reasons not to have such kind of community on StackExchange? Or is there already a place for it?
There is no place for it, mostly because it doesn't make sense because communities on SE are not "hosts for discussion of", they're for questions and answers and building a library of useful information on a specific subject.
So, "discussing sites" wouldn't fit within the model. I also doubt a site where the only question you can ask goes like "Is site X a scam or legitimate" would work. There are more sites on the internet than people willing to answer those questions, most likely. I can give you the first 180 or so questions for free, by asking such a question about every site on the SE network itself.
As for having a site where you could 'search for' possible scam websites, I don't know who would want to do that. But some people have strange hobbies. I doubt linking to every scam website out there is going to have a good influence on Stack Exchange's reputation though.
If you want to know what to look out for to recognize scams, several communities on the network already have such questions. There's no need for a new community.