I’ve done about 10 features since I switched to doing everything in a single session, and so far I’ve been happy with that. Of course you have to be really meticulous with the versioning in case something happens to the session, but so far I’ve never had to revert to an older version due to anything Cubase did. A couple of times due to my own screw-ups with global copy/paste operations, yes – you better make sure you’re always locked to a 1/1 grid when doing those. Process Bars is much safer than the selection-based ones, so using that as much as possible is a good idea.
I find the ability to easily copy material from other cues, quicker mixing if doing everything in Cubase, easier batch export with AutoHotkey/AppleScript, getting a bar-correct single session for Pro Tools for recording sessions etc. more than makes up for the slight extra hassle it brings though. But this is definitely something where everyone’s mileage will vary. I would not suggest diving into this without testing it out pretty extensively.
Example session image from a documentary I did http://dl.dropbox.com/u/8520185/tale_of_a_forest_cubase.png
