You've pretty much answered your own question.

The advantage of combining brush-based entities is that it reduces the entity counts; the main disadvantage is that, whenever any of the objects are drawn, all of the rest will be too.

A further disadvantage is that if the bounding box of the resulting entity becomes too big, the compiler will not be able to insert it properly into the BSP tree (because the entity will straddle lots of portals). At least, I think that's what happens. Anyway, the upshot is that it will be rendered almost all the way across the level and behind walls (and sky) - VIS just won't be able to block it. Obviously this is bad.