Not all airlines will let you get it without going to luggage claim, some will require you to get it with all the other bags.

To me the biggest issue is it is not tagged the same as the others. It doesn't have a bar code tag (usually) and doesn't have the scan history. If it gets lost, it may take much longer to find because it's not in the system. It also doesn't have a destination code on it that the automated sorters can recognize, so it has to be hand sorted at any connections which may or may not work all the time.

There is also some question as to the airline's liability should something go wrong, as it's not really a checked bag.

You also have to bring it through security, which limits what you can have in it, and have to lug it around till you get to the gate.