If your Bitkey gets lost or otherwise stops working AND the Bitkey servers go dark for whatever reason (bankruptcy, state infiltration, just don't want to provide this service anymore, etc); then you're screwed.

Granted, for BOTH of these to go wrong, it may seem highly unlikely; but ultimately, those are mostly out of your control; and, it's an unnecessary risk to take if you're just willing to take responsibility for your own keys.