The virtual appliance is a linux version of WHD with a CentOS distro.
While I don't see reduced system requirements on the KB or additional security benefits, it looks like your benefit would be no windows patching and maybe better performance. I recommend you test it out as I don't see much documentation about performance regarding installing as an appliance, so any input would be purely anecdotal
Day to day there isn't a ton of difference between running it on a Windows machine vs. a linux box except for perhaps some performance benefit since CentOS typically needs a bit less overhead to run than a Windows machine does ... but in most cases it wouldn't really matter much unless you are taxing the heck out of the system.
Main drawbacks would only be in the cases where you need to interact with the machine it may be (slightly) harder to do the things you need to do - i.e. if you need to change the port it runs on or add a certificate or gather logs for troubleshooting, etc... and those are only drawbacks if you're unfamiliar with linux. I would think Support should generally be able to help you with those things.