Recently I tried brewing in a bag without my sparge manifold (slotted copper tube) at the bottom of my mashing & laeutering pot. The wort contained way too much solid matter after removal of the bag (about three to four times as much as with laeutering settled at the bottom of my fermenter). I also didn't like wasting the sugar stuck in the bag, despite squeezing & collecting the drip-off. The specific gravity of the liquid dripping off the bag was significantly higher than what I usually get at the end of sparging (1.02 to 1.01).
For my last wheat beer, I then used the bag in addition to my usual setup.
Sparging seemed to take significantly more Vorlauf than without a bag, i.e. the wort drawn from the sparge manifold was cloudy for a longer time. I don't know why that would be the case, but I assume the forming of the grain bed doing the filtering doesn't work as well with the bag mesh between the grain and the slotted tube.
The bag did simplify cleanup after sparging. I found the bag was a bit scorched/molten to the pot where it was draped over the edge of the pot - I do step meshes on a gas stove.
So, to summarize:
- cleanup is simpler
- I find sparging is still necessary
- and one has to be careful with applying heat when step mashing on an open gas burner, to avoid melting the bag.