You can use BDA for forward problems too, via posterior predictive samples. The benefit over neural networks for this task is that with BDA you get dependable uncertainty quantification about your predictions. The disadvantage is that the modalities are somewhat limited to simple structured data.
You can also use neural networks for inverse problems, such as for example with Neural Posterior Estimation. This approach shows promise since it can tackle more complex problems than the standard BDA approach of Markov Chain Monte Carlo and with much faster results, but the accuracy and dependability are still quite lacking.
[0] The rule of thumb that signal-to-noise improves with the square root of the number of measurements. Also, as my dad put it: "The more bad data we average together, the closer we get to the wrong answer."
Also nobody fits neural networks and use variation inference using any priors that aren’t some standard form that makes algorithm easy