You need rather large wrenches to adjust a threaded headset, where threadless only takes some allen keys. If you happen to be away from your workstation and the headset loosens up, you are generally out of luck until you get back.
you are out of luck, or you just hand tighten it maybe a few times during the rest of your ride. Come to a stop? A 1/8 turn will tighten it back up.
hardly a big deal.