There are some advantages as I understand it. You would make it through a wider range of temperatures and activate a wider range of enzymes who do a number of things. If you were using under modified malts, these steps would be a necessity.
However, the disadvantage is direct firing is pretty hard in the homebrew setting. You have to constantly stir, and constantly take numerous temp readings. It would be entirely possible for you to take reading in the first couple inches of the mash and have it be 120 and the mash at the bottom be 160, or higher.
If you want to experiment, by all means, go ahead. Experimenting is part of the fun with the hobby (how do you think I know direct firing is hard?
) However, unless you have some specific goal to try and obtain, I would just stick with single infusion with preheated water. It really takes a lot of steps and thus time out of the process and the beer is just as good IMO.