Note, I've never made a CNC machine myself, but from what I have read in researching it:
The biggest drawback is friction. More friction in the leadscrew (Or really anywhere in the motion system) either means bigger steppers/power supplies or you run them slower so they don't miss steps.
So, there's the tradeoff... how much speed do you really need? In a production situation, 15% faster might be the line between profit/loss on a product.
Home shop... who cares? LOL, it's just time to have another beer while you wait. ;-) (Non alchoholic beer while machining of course. )
More experienced folks will probably weigh in soon.