Hi David, No disadvantage using threaded cutters in ER25 collets I do it all the time on my Emco FB2 mill but there is a distinct advantage using the threaded cutters in a Clarkson chuck.
With ER collets or similar it is possible for the cutter to pull downwards during the cut particularly if it is a larger cutter, a deep cut or a cut using the side of the cutter to say dress the side of a job. This cannot happen with the cutter correctly installed in a Clarkson chuck. I have both for use on my milling machine but mostly use the ER for convenience unless I know any of the previous points are relevant to the job in hand.
John