Pros: keeps dust where ya want it. Not where ya don't. much better for your health as only one area has the fine particulate. So your not breathing in the junk when forging or doin other work. Also a lot safer if built right as your not having dust build up where ya forge, weld, etc.
Cons: it's concentrating said dust into one small area. So you need to clean it more often, and ideally have good airflow out of the shop for it otherwise it will be a very unhealthy place to be in without resp on. Depending on how big a space you have it will be cramped inside which just makes things a pain in the ass. I wouldn't build one that wasn't able to accommodate all potential needs for the tools in the room. Last con, lighting, will need added fixtures to keep it bright!
Just finishing my 9x8 grinding room so haven't been able to test it out just yet, but in theory it's going to make life a lot easier and cleaner. framed, drywalled, then lined with corrugated metal sheets around all the spark creating spots. Got the exhaust fan roughed in that will move all the super fine particles outside, just need to finish that up and get the clear pvc/vinyl strips for the doorway and it's set. Even plumbed in a water line right next to the belt grinder so i can grind wet when workin with materials i really don't want to breath in. All goes well should be done in a few weeks.