I actually dont think it matters in the end. I thought about this a great deal.

Its only if you expect them to come knocking on your door every time you move them. But by the time you need to actually use them, I'm not sure there will be a "them".

The cons are that: They know who you are, how much you have and potentially, how much and who did you send bitcoin to. Thats the raw issue. Everything stems from here.