Pros & Cons
I'm sure this answer is not complete but the big pros are avoidance of the fees you describe and that you don't have to carry a lot of money around. The biggest con is that they will track your play, which they would do anyway if you have a card. I imagine you would be a sticky wicket if you say got a $5k marker, played a little, then cashed in $2-3k at another window and then played at another casino. So another con would be that you pretty much play in one house, unless you had a big win and then took that money to another casino.