The only con I can think of is that it doesnt have overlay options like retroarch, and only one basic crt shader that is ok.
I use it for nes, snes, genesis, sega cd, psx, virtual boy, and sega saturn. So that takes care of quite a bit. I also use it with rocketlauncher so I still have bezels (overlays) applied to it through that program, so the look still matches anything I have with retroarch. I can see how if you didn't want to learn how to apply a bezel to mednafen via rocketlauncher but you have them on in retroarch, that it might be annoying. But if you dont care about that then I think it might be a great solution.