Are there any limitations to working within Pro and what are the advantages? Do you need to work with data from your Portal or can you bring layers directly from the Pro Project?
First, for your title's question
Can't think of any major advantages analysis-wise... maybe in managing stuff related to esri things.
I tend to use Jupyterlab directly or from within Spyder rather than Pro, but I tend to do analysis and graphing and not managing or mapping
You can use any data you want