Every type of food has both pros, and cons.
The #1 con with pellets is palatability. Some fish will choose certain pellets over others due to texture, smell/taste, and sometimes even color. Some fish will simply not eat pellets, period.
While pellets do offer excellent nutritional value, I don't think that one can state that the nutritional value is greater than if one is feeding whole live foods. That is a very simplistic view, and impossible to truly compare unless you are comparing specific brands, to very specific live diets.
When raising feeders in a controlled environment, or culturing other live food in a controlled environment, there is zero risk of infecting a fish with the type of numerous pathogens and ectoparasites that can be found in live food found at ones LFS.
I feed pellets by choice, for a number of reasons, and they definitely get the job done, but that doesn't mean that one can't get the same results feeding a properly balanced mix of live food.