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Advantage: Don't have an extra box around somewhere to look at (if it is visible.) Disadvantage: More heat in the cone, and heat is bad for electronics. "They Say" that the new ones in the cone are pretty reliable (NOT the old Crane ones) and that may be, but I just prefer keeping electronics as cool as possible. Then, I have like 6 fans in my desktop at home.
I am a fan of not messing with things too much, nosecone ign is good for custom builds but heat can make it die. The way H-D have it set up, the cheap part gets the heat and the expensive part is out of the way....which makes sense to me.