There is no major disadvantage of that.
But main concept is if product has a weight then you need to deliver it physically.
If product has no weight that means its virtual product (Something which we don't need to deliver it but we can download it or get the details of it from the website only)
Suppose you have T-Shirt (Configurable Product) - Now all colors and sizes of t-shirt must have weight. If you select no weight option here
then what would you be delivered ?, as its physical product.
But when delivery/shipping is depended on weight then it makes you in trouble/disadvantage. That time even though its configurable product
still you need to mention product has weight.
Refer this link for more details (things to remember) - http://docs.magento.com/m1/ce/user_guide/catalog/product-virtual.html
Hope it makes sense.