Doing so has huge benefits: Write performance is way higher, you can do rollbacks easily (just ignore the tail of the files), you can do snapshotting easily (just make a new file and include by reference a byte range of the parent), etc.
The downside is from time to time you need to make a new file and chuck out the dead data - but such an operation can be done 'online', and can be done during times of lower system load.