Hey Steve, you know by now I ain't bashful, so here we go...
Like most things, there are advantages and disadvantages to both approaches. By using key-switched power to the headlights and feeder circuits, you can:
1) forget about having to switch off your lights, which can become a habit, and then when you start the car again the headlight/taillight/dash lights load will immediately be on the battery while cranking the engine,
2) assure that all lighting is disabled when you turn off the key, so that when you forget something stashed in the hatchback area, which has a new lamp wired in with the lighting circuit (like the 105/115 Spiders), you have to insert the key once again to get illumination in the hatchback area to find what you forgot.
3) forget about being able to flash your headlights as a warning, or signal, unless you have the ignition ON,
4) be forced to insert your key again, switch on the ignition and leave it on, whenever you may want/need extra illumination outdoors while parked.
To me, that's all a potential PITA. Small PITA's maybe, but PITA regardless. And to what benefit? There is after all, a green indicator lamp on the speedo that tells when the park lights/headlights are switched on. So there ya go buddy!