Yes true, the down side is that outside of windows you'll need a third party library to load dds files or its a case of roll your own. It's a feature rich format which I wouldn't fancy creating a parser for myself. Best to stick to windows for that IMHO and leverage that particular advantage...
Well this point not only applies to DDS but you can just put it: Outside of DirectX you neeed a third party libary to load a texture file, period. There are some rather simple/small libaries, thank god, but you really learn to appreciate what the D3DX-libary has to offer (I wouldn't want to write a PNG parser myself eigther). From what I gathered though the DirectX texture loading stuff is being deprecated in current DirectX versions and therefore forbidden for windows store apps, as well as getting probably removed... so this advantage is going away soon, it appears.