I also still use a Pi Hole, although I now use the proxy.
Reason: The proxy filters ridiculously few trackers with standard lists like from Shalla. It may be that you can do better with the proxy. But then you need much better lists that also work.
If interested, check out my post in the link below or the thread linked there.
So far I can not see where there should be disadvantages. I can only see advantages. But maybe I am blind?