The major "advantage" of threadless forks and headsets is they are now, by far, the most common type on newer bikes so a much wider variety of stems and matching handlebars are available. They have the potential to weigh a bit less too.

The major disadvantage of them is the reduced adjustability, in particular limited adjustability once the steerer has been cut to the "correct" length. If you change your mind later, there isn't a lot you can do.