advantages - boring, self-contained work for horses with leg injuries etc which go nuts under saddle, and only need walking for a while.
hugely time-saving, can "work" 4 or more horses at a time, while mucking out etc. good for early fittening work.
can work a horse without weight on back (ditto lungeing tho obv)
disadvantages - the constant turning has now been proven to have a detrimental effect on legs, i believe.
danger, most of all - i have heard of some terrible injuries to horses on walkers. houdinis try to jump out, trying to crawl under the barriers, getting stuck, other horses walking over them etc etc.