One advantage is that any tiny blood clots that occasionally form throughout the body gets pumped by the heart into the lungs where they get trapped and broken down. From the lungs, clot-free and oxygen rich blood is drawn back to the heart where it is pumped to the brain and back to the body. Even a tiny blood clot going to the brain can be life threatening.
A disadvantage is that there isn’t a mechanism to deal with large blood clots that form in the body and are pumped to the heart and lungs. Such pulmonary embolisms (PE) can be fatal. If the blood clot is large enough it can cause congestive heart failure where the heart can’t pump the blood through the clogged lungs. This can cause the heart to symply stop.