There is only one 'visible' advantage of having a direct flight number - if you
are a GM or 2P, they will procure you an accommodation should you get stranded
en route. Wheras on connecting flights they are not obliged to.

Other than that, I can only see disadvantages already listed here:

• fewer miles
• less EQS
• upgrades have to be confirmed on all segments

So as 1P or higher, I too would say never...