Its because with ICS you have to control the connection through one pc and as such that pc must be on all the time. Also ICS forces your computer to be in the 192.168.0.X IP range and can cause difficulties when connecting many different computers/printers through a router. Having an ethernet device eliminates the need to control the connection from a dedicated pc and allows "everything" to be managed via the router. I am sure there are other resaons, but these are the biggest concern for me.
Only if you use windows to share your internet connection