It's main advantage is in recirculating. By having the sides solid, the hot liquid flows from the top, through the grains, into the bottom. If the sides were mesh, you'll have some hot liquid flow from the top and straight through the sides, not keeping an even temp in the grain bed.
OK thanks Specialkayme that makes good sense; I assume your recirculated wort is sprinkling on the top of the grain bed, right? What if the return wort to the bed was through a vertical pipe in the center of the grain bed, with holes along the length of it and a cap on the bottom? I have seen at least one person doing it that way, and their basket has mesh sides and bottom. I tried to illustrate that in my attachment. I might have to do it that way because of the dead space outside, and below, the grain basket. Otherwise I think the wort would have little contact with the dead space outside the basket, resulting in lower efficiency.