I think I've mentioned it already in this post. There is one clear advantage (if you're anal) and that's that the steel is always straighter when outside of the skate blade holder. So, if you hate seeing a level blade in the middle and 1-2 thou off on the heel and toe, taking the blade out is only going to improve your readings. That's the one true advantage other than the convenience when you have multiple sets of steel.
As for the vibration, we haven't seen any issues here yet. There's a definite difference in the sound, similar to when you sharpen loose steel on a traditional clamp and machine but nothing destructive. All of our NHL Equipment Managers utilize the blade holders.