There are disadvantages to a gps unit attached to a hotshoe. It can take anything from a few seconds to minutes for gps to find satellites and locate your position. You could well have taken your photos by the time you have turned the gps on and it locks on. Yes, you could leave it turned on all the time but its chances of receiving a signal inside a bag are somewhat diminished. A separate gps unit hanging from your bag or person, turned on for the whole day, or photo session, will always have the data.
Second point. Say you're wandering around a city and you step inside some nice building, church, museum, whatever. You get your camera out. No gps reception inside the building. If you have a separate gps already on, then it knows where you are when it loses signal as you step inside. When it comes to matching the time stamps, the program tells you there is a mismatch asks you if you want to apply the last known position i.e the point where you stepped inside and lost the signal.