most stomp boxes are not set for the levels a loop puts out. maybe away to get wierd sounds and smoked pedals.
personally i think different effects sound better before the amp. most actually thats why i dont have a rack rig anymore.
running direct is a great thing if the sound system supports it well. basically you dont have to bring a poweramp or speakers just run a pod or rack or processor into the board.
unfortunatley you dont get 100% accurate tone.(speakers and power amps have a lot to do with tone, especially dirty tones) and the sound guy greatly effects your sound.(eq level etc...) It really requires a PA with a good monitor ability and usually multiple mixes. I personally hated my attempts to record this way the magic of the speakers and amps just weren't there.
The upside is low stage volume, small churches, coffe houses, practice etc... I see alot of local bands that i wonder how theyd sound if Angus wasnt on 11. Maybe they'd have vocals. For practice its great because your not make yourself, neighbors,spouses,housemates def.